Obtaining Open Interest values not for the current bar

[Vladimir Karputov]

For the current bar, getting open interest is not a problem:

   double oi_buy=SymbolInfoDouble(Symbol(),SYMBOL_SESSION_BUY_ORDERS_VOLUME);
   double oi_sell=SymbolInfoDouble(Symbol(),SYMBOL_SESSION_SELL_ORDERS_VOLUME);

But how do you get open interest for other bars (not for the current bar - the rightmost one)?

Forum on trading, automated trading systems and strategy testing

How to get the Open Interest values not for the current bar

Karputov Vladimir, 2016.09.05 11:16

So it's like this. Here is the correlation between MetaTrader 5 and Quick:

MetaTrader 5	Kvik
Total volume of buy orders at the moment	Total demand
Total volume of sell orders at the moment	Total supply

100% match in numbers.

[Ihor Herasko]

Karputov Vladimir:

For the current bar, getting open interest is not a problem:

But how do you get open interest for other bars (not for the current bar - the rightmost one)?

This is not for the current bar, but for the current moment. In a second it will be the same bar, but with a different value of Open Interest. As far as I understand, this value is not stored in the history. That is why there is no way, but to collect statistics online.

[fxsaber]

From https://www.mql5.com/ru/docs/constants/environment_state/marketinfoconstants#enum_symbol_info_double

SYMBOL_SESSION_BUY_ORDERS_VOLUME	Общий объём ордеров на покупку в текущий момент	double
SYMBOL_SESSION_SELL_ORDERS_VOLUME	Общий объём ордеров на продажу в текущий момент	double

What is meant by"Total volume of orders"? Is it the total volume of the gangs of one side of the stack? Or is it the total one-sided position of all exchange clients?

[Dmitriy Skub]

Karputov Vladimir:

For the current bar, getting open interest is not a problem:

But how do you get open interest for other bars (not for the current bar - the rightmost one)?

Save to file, then read from it. There is no other way.

[prostotrader]

fxsaber:

From https://www.mql5.com/ru/docs/constants/environment_state/marketinfoconstants#enum_symbol_info_double

What is meant by"Total volume of orders"? Is it the total volume of the bands of one side of the betting market? Or is it the total one-sided position of all exchange clients?

Total volume of orders placed on the exchange (does not depend on bars and comes to the terminal with each pack of ticks)

[fxsaber]

prostotrader:
Total volume of orders placed on the exchange (does not depend on bars and comes to the terminal with each pack of ticks)

If I sum up the ganks of the ticks on one side, do I get the corresponding OI?

[Vladimir Karputov]

Ihor Herasko:
But it is not for the current bar, but for the current moment. In a second it will be the same bar, but with another value of Open Interest. As far as I understand, this value is not stored in the history. Therefore, there is no way, but to collect the statistics online.

Actually OHLC is also a momentary price value: "Open" - at the moment of bar opening, "Close" - at the moment of bar closing.

Dmitriy Skub:
Save to file, then read from it. There is no other way.

It either is or it is the collector of Open Interest for all its pairs on VPS.

[prostotrader]

Open Interest Ribbon indicator

Added: Zeroing of variables, during initialization.

Added:

Replace COPY_TICKS_TRADE with COPY_TICKS_ALL.

Added ChartRedraw(ChartID()) function;

[Dmitriy Skub]

Karputov Vladimir:

Either that or put an open interest collector on the VPS for all pairs.

You can also get it from ready-made sources. I remember there are archives on finam.

[prostotrader]

fxsaber:
If I sum up the gangs of the tumbler on one side, do I get the corresponding OI?

No, because there are only 20 values each in the glass.

[fxsaber]

Dmitriy Skub:
You can also get it from ready-made sources. I remember there are archives on finam.

Why?! All historical information on open interest is contained in the tick history.