COTOpenInterestLegacy
The installation of the Technical Analysis Package is required in order to access this indicator.
Description
The open interest specifies the number of all currently held contracts; a high open interest, therefore, indicates that the market participants have great interest in this value; vice versa, low open interest shows that a value has only few held contracts and therefore little activity from the market participants. There are two options for calculating the OpenInterest:
1) Commercial[Long] + NonCommercial[Long] + NonCommercial[Spread] + NonReportable[Long] = OpenInterest 2) Commercial[Short] + NonCommercial[Short] + NonCommercial[Spread] + NonReportable[Short] = OpenInterest
Since for every long contract, there is also a market participant on the short side, both calculation methods yield exactly the same value. Additional info: with the CFTC, the open interest is not calculated; the CFTC can simply see the open interest by counting all contracts that are open in the market. With known open interest, the NonReportable positions are then calculated, since the following equation must be valid: TotalReportable + NonReportable = OpenInterest. TotalReportable and OpenInterest are known, allowing the NonReportables to be calculated.
The following parameters are available for the OpenInterestLegacy:
CotType: COTReportLegacy – CotType
ReportType: COTReportLegacy – ReportType
StochasticPeriod: COTReportLegacy– ComparativePeriod
IsNative: outputs the OpenInterest as an absolute number, just as it is read out from the CFTC reports
IsStochastic: the OpenInterest is outputted and calculated as an oscillator with values between 0-100. With the StochasticPeriod, you can set with which period the Stochastic should be calculated.
IsCommercialLong/IsCommercialShort: select [True] if you would like to have the data for the NonCommercials displayed. The outputted values are percentages; if, for example, you set IsCommercialLong=True, the percentage of long positions of the Commercials that make up the total OpenInterest is outputted. A value of 0.5, for example, means that the OpenInterest consists of 50% long positions of the Commercials, which can be considered a very large long position of the Commercials.
IsNonCommercialLong/IsNonCommercialShort: if you select [True], the percentage of NonCommercial long positions i.e. NonCommercial short positions that make up the total OpenInterest is outputted.
IsNonReportableLong/IsNonReportableShort: if you select [True], the percentage of NonReportable long positions i.e. NonReportable short positions that make up the total OpenInterest it outputted.
IsTotalReportableLong/IsTotalReportableShort: if you select [True], the percentage of TotalReportable long positions i.e. TotalReportable short positions that make up the total OpenInterest is outputted. (TotalReportable = Commercials+NonCommercials).
Parameters
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Return value
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Usage
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Visualization
Example
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