giancapino

MY_CME eod OI vs CFTC eow OI

Daily e-o-d Open Interest as published by CME .
As CFTC COT Open Interest relates to last Tuesday, here you can have an idea how things evolved day-by-day since then.
As CME total OI is not accessibl as data, here I sum OI of the next 9 outstanding contracts, which gives a fair idea of the trend in OI
リリースノート: One can input a "preliminary" e-o-d Open Interest if published hereon CME site
https://www.cmegroup.com/market-data/vol... as the "final" data becomes available on tv quite late
リリースノート: fixed colors
リリースノート: fixed offset of CME "final" OI, -1 on weekends,-2 weektime, as OI should be public within the next day, and relates to the previous day. But noton weekends...anyway you get the meaning
リリースノート: offset fix
リリースノート: Cleaned code, now sums OI of the next 20 contracts. Good for gold and E-mini.
WTI is not too suitable, as it has dozens of conracts active for the next 3/4 years .
リリースノート: Added new input "number of contracts"
This script uses the QUANDL:CHRIS datasets, that records CME e-o-d data by quandl, and is exported daily to tradinview
The number of outstanding contracts @CME differs from product to product
eg Gold has 16 oustanding contracts, E-mini has 4, NatGas has 43!
The scripts has max 20. You can add as many as you like in the source code,but toomuch typing for me

// NUMBER OF CONTRACTS
// eg:
// CME Vol and Open Interesst page eg. for GOLD:
// https://www.cmegroup.com/trading/metals/...
// Totals Volume & OI (last line of table) are not exported by CME to quaandl

// CME data is recorded&exported daily by quandl.com to tradingview
// via the che CHRIS/CME datasets
// https://www.quandl.com/data/CHRIS
// Eg. Nat GAs cntract n. 20, field n. 7(OI)
// https://www.quandl.com/data/CHRIS/CME_NG... (@quandl.com)
// this data is (should be) exported daily to tradinview
// https://www.tradingview.com/e/?symbol=QU... (@tradingview)

// This script tries to sum all the fut cntrcts' Vol&OI to obtain a fair total
//
// Number of outstanding cntrcts per commodity differ.
// eg E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
// see doc by quandl:
// https://s3.amazonaws.com/quandl-producti...
リリースノート: This latest version sets automatically the number of outstanding contracts' OI to sum up
basen on the ticker future code
data is taken from QUNDL:CHRIS/CME_ dataset
// Number of outstanding cntrcts per commodity @CME differ.
// eg E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
// this script now gets the n.of outstandig cntrcts' OI to sum from the following table:
// https://s3.amazonaws.com/quandl-producti...
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