Indicator will display a futures contracts Open Interest for the front month. Data is updated daily at 5PM.
Data is pulled from Quandl.
The spikes in the data series are due to the roll in which open interest shifts.
For this indicator to work in NinjaTrader you'll have to sign up for a free account with Quandl and get an API key for which you'll enter in the strategy's input parameters.
Ways to Improve:
Pull and aggregate data for all a contract expirations, so rather than the plot being equal to just the front month's Open Interest it would be the Open Interest of all contract expirations combined.
You can compare the OI values to the settlements page on CME.com.
Comments or Suggestions:
Email [email protected] with Attn: Alan P + OI Indicator in the Subject line.
Written by Alan Palmer
|File Size||6.0 KB|
|# of Downloads||358|
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