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»Forums Index »Product Support »Data and Content Support »difference in open interest between Daily Symbol and **.IO.Z ???
Author Topic: difference in open interest between Daily Symbol and **.IO.Z ??? (3 messages, Page 1 of 1)

Jupp25
-Interested User-
Posts: 1
Joined: Oct 16, 2021


Posted: Oct 16, 2021 03:25 AM          Msg. 1 of 3
Hi,

why is there a difference in the open interest that comes with the daily data of a symbol (for example @ES#C) and the open interest that comes with the corresponding open interest stream (@ES.OI.Z).
how can that be explained?

Same with the Volume, where does the differenz between the @ES#C and @ES.VOL.Z come from? Ok, that actuall volume is calculated by my software, but should that cummulation be the same as the exchange does? and its not only off by a view numbers.

Second:
I am using Multicharts. If I set up @ES.OI.Z as a "regular" symbol, the data will be shown at the EOD, even though the IQFeed stream delivers the data way earlier. So I until now, I have to reload historical data during the day, if I want to chart that data whenever the stream delivers it.
Is it better to use these kind of symbols via DDE and Excel? (never used that yet) or is there a different solution?

Thx
Chris
Edited by Jupp25 on Oct 16, 2021 at 11:19 AM
Edited by Jupp25 on Oct 16, 2021 at 11:28 AM

DTN_Stephen
-DTN Guru-
Posts: 418
Joined: Aug 22, 2014


Posted: Oct 18, 2021 06:22 AM          Msg. 2 of 3
I will respond with an answer shortly once my market data team has had a chance to review the data.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

DTN_Stephen
-DTN Guru-
Posts: 418
Joined: Aug 22, 2014


Posted: Oct 18, 2021 07:02 AM          Msg. 3 of 3
The symbol @ES.IO.Z includes all the active contracts Open Interest.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net
 

 

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