MY_CME eod OI vs CFTC eow OI

Gold FuturesCOMEX

설명

⋅ 2018년 9월 18일 오후 7시 12분

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

릴리즈 노트

⋅ 2018년 9월 26일 오전 10시 55분

One can input a "preliminary" e-o-d Open Interest if published hereon CME site
cmegroup.com/market-data/volume-open-interest/metals-volume.html as the "final" data becomes available on tv quite late

릴리즈 노트

⋅ 2018년 9월 26일 오전 11시 8분

fixed colors

릴리즈 노트

⋅ 2018년 10월 13일 오후 3시 8분

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

릴리즈 노트

⋅ 2018년 10월 19일 오전 6시 27분

offset fix

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⋅ 2018년 11월 25일 오전 9시 32분

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 .

릴리즈 노트

⋅ 2019년 3월 15일 오후 6시 38분

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:
// cmegroup.com/trading/metals/precious/gold_quotes_volume_voi.html?optid=7489&optionProductId=7488
// 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
// quandl.com/data/CHRIS
// Eg. Nat GAs cntract n. 20, field n. 7(OI)
// quandl.com/data/CHRIS/CME_NG20 (@quandl.com)
// this data is (should be) exported daily to tradinview
// tradingview.com/e/?symbol=QUANDL:CHRIS/CME_NG20|7 (@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:
// s3.amazonaws.com/quandl-production-static/Ticker+CSV's/Futures/continuous.csv

릴리즈 노트

⋅ 2019년 3월 29일 오전 10시 35분

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:
// s3.amazonaws.com/quandl-production-static/Ticker+CSV's/Futures/continuous.csv