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Hi Bob:
All futures data providers that supply open interest data, do so on a one-day delay basis. Yes, they report it as the current day's open interest, but it isn't. The open interest isn't available until a significant time delay after the closing bell of the daytime, open-out-cry session. Futures exchanges are required by law to square up all of their buys and sells before the opening of the next open-out-cry session because funds are actually transferred to the buyer and sellers accounts through "clearing" brokers at the end of the session, each and every trading day. That is why if you have the market go in your direction your account is actually given the funds at the end of the session, and are available for you to withdraw if you wish, even though you are still in a position. This process sometimes takes a long time because the open-out-cry is not electronically controlled and must be done manually. I have heard reports that some exchanges have come close to not being able to open their next trading session because they hadn't settled all of their buy and sell orders from the previous one. This manual system also leaves itself open to floor trader cheating and manipulation and stories about that are rife. If you follow futures prices closely you often time see a jump change in settlement price an hour or more after the actual close of the session. The reason I've been given for this is that the floor traders are still executing trades among themselves. All sorts of wild things happen during and after trading session. Some 20 years ago I had a sell stop well below my long wheat position on the Minneapolis exchange and it got hit when the trading range for the day was 5 cents above it. My broker didn't have any problem forcing the exchange to take back their illegal trade.
For the above reasons all volume reports on North American exchanges are estimated volumes until the following day, and open interest numbers simply aren't even reported until the following day. You can check both of these out by looking at the Wall Street Journal which clearly states that open interest numbers are for the preceding day and that volume numbers for the current day listed are estimated, alongside an actual volume number for the preceding day. Sure, the data providers drop these numbers in the current day's slots, but they aren't the current day's real numbers. That's why such indicators as On Balance Volume are not really correct for futures and open interest indicators aren't really valid either. If you read the really good technical analysis books they will admit this. Any data provider that says they are providing the real volume and open interest for the current trading day are lying. Most though tell the truth.
I too entered my own data on a daily basis for many years with The Downloader using the WSJ as my source before going to electronic feeds 7 or 8 years ago. I now use day session, open-out-cry data only because the off hour electronic trading can have some wild trades out of "normal" trading ranges because they are often times very thinly traded. Both Reuters and UA/CSI give you a choice of individual sessions, combined sessions, or day session/open-out-cry only. The WSJ now carries only the 24 hour trading sessions merged into one. As previously mentioned, that can have some very wild electronic trades in it.
Because of the problems with the open-out-cry day session trading with both floor trader cheating and the difficulty of arriving at settlement prices, the U. S. congress has been after U. S. exchanges to go to strictly electronic sessions which will supposedly end the cheating and create a rapid settlement which will instantly provide real volume and open interest reporting too. The exchanges have been given several dates to go fully electronic but they somehow keep putting it off into the future.
Understanding the data you are working with helps to make better trading decisions.
Jay
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All:
I have Metastock V7.2 EOD and I follow futures data. I use
Quotes Plus as my data provider. They have different packages,
but their futures data includes volume and open interest. They
also provide Metastock and ASCII conversion utilities. These
can be set up so that the conversion runs automatically after
you do your daily download. Volume is included at the time
of download, not a day later like some providers.
Bob
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