Open interest in Forex. Open positions of forex traders from all brokers

This article is a continuation of the article “Market Trading Strategy, Open Interest, Advantages”, the link to which is attached in the comments

Axiom - To make a profit, you must have an advantage over other market participants. You know your advantage - you make money, otherwise it’s roulette, not a trading system

At the request of our subscribers, today we will discuss in more detail the topic of open interest on the Chicago Mercantile Exchange

Why exactly at CME? - there are no small players here - the minimum trading volume (lot) is 5 bitcoins. The second reason is the responsibility of CME to trading participants, in contrast to various crypto exchanges, on which small players trade. Crypto exchanges do not miss the opportunity to disrupt stop orders, which was discussed in a separate article. (Bitfinex scammers?)

On the Chicago Mercantile Exchange, daily at the end of the session after clearing, a summary OI (Open Interest) for each traded instrument is published (free of charge). But, unfortunately, this is OI for the day. There is no access inside the day. Data is published at the close of the day - therefore, it is the CLOSE moment that needs to be studied.

You can find them in the section of the public CME website
https://www.cmegroup.com/trading/equity-...

Here, you can see all the official information on trading bitcoins on the exchange by browsing through the tabs in this section.

Information for the last few days is freely available. By selecting the appropriate day from the drop-down menu
http://joxi.ru/J2bbMXQiXvMMB2

We immediately see the distribution of contracts by month. We pay attention to the near-term contract (further ones are closer to investment ones).

Frequently asked question - Why is there only the next few months? - More distant ones by their nature are simply not needed at this historical moment - there is no strict need to be guaranteed to receive bitcoins for a remote period.

Example: oil can be contracted for several years in advance - producers and consumers need this. In addition, oil can be hedged with options, which is convenient for clients. In the case of bitcoins, this is not necessary.

Let's get back to the topic.

By changing the date, we get data for each day. if you need earlier dates, we look for the newsletter archive on the website and get information from there.

Why is this needed, how to work with it?

It’s just that OI numbers can’t say much, but their changes up or down are more informative for us. To get a visible summary and material for work, we recommend creating an Excel table with data for each month, creating a graph of changes in open interest and using it you can already search for the divergences we love so much with the price of Bitcoin.

You can also try to look at the price discrepancies on Settlement and try to find some kind of pattern there too.
Finding divergences at the close of the day (a settled market - a price that most traders agree on) can help participants better see future movements

This information will be an excellent addition for trading on the cryptocurrency market, especially, in addition, you can see the discrepancies between the chart and open interest within the day, thanks to our indicator, which has recently been distributed for free! We open access in LAN

We invite you to visit our website fvbtrading dot com

We offer various training options: from the basics of trading to ready-made strategies and non-standard approaches: market profile, cluster analysis, volume analysis and tracking the position of a market maker.

Happy trading everyone, the article will be constantly updated

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Open interest in USD
Open interest in

Everyone knows that a stock is a security. And it is produced in clearly known quantities. That is, if a company issued one million shares, then the next day there will be the same number. For the majority of your share ownership, this will be the case.

It turns out that the number of shares in circulation is fixed. And it is known for sure. Here, OF COURSE, it is worth remembering that a share is the right to a share in the company, therefore each holder has the right to a proportional share of the PROFIT. This is the basics.

What is it? This is not a promotion. This is a standard contract for the supply of shares (or any other exchange-traded asset). It does not give the right to a share in the company. This is a contract for the supply of an asset. Simple and clear. It is also called a “Fixed-term contract”. And the point here is not a matter of haste, but of a predetermined deadline for fulfilling the contract.

Two parties to the transaction entered into an agreement (contract) for the delivery from one person (buyer) to another (seller) by the deadline for execution (expiration of the contract) of an asset specified in the contract. It's that simple. For the purposes of this article, we don’t need more.

The important point is the “conclusion of a contract”. What you need to understand:

1. The exchange simply creates a standard contract for a specific asset. And he invites everyone to trade the asset through this contract. Standardization at its finest.
2. Initially, the number of concluded contracts is zero. The total number of open contracts at the time of contract creation is zero.
3. When trading begins, a trader comes who is ready to open a long position, and the second one is short, then their joint transaction creates a new contract.

A new contract requires a meeting between a “clean” market and a “clean” limit. By this term I mean a transaction where money is exchanged for a position. Only in this combination will we get a new open contract. And the number of “OIs” will increase. Sounds very cool. Very straight forward.

But here's the error: what happens if one of the two counterparties has an open position and closes it. Is the second counterparty “clean”? Number of open contracts WILL NOT CHANGE. It is at this moment that all the power of this flow suffers.

IMPORTANT: When opening one new contract, the number of “OP” will increase not by +1, but by plus two. The exchange counts two sides. Therefore, the number of open contracts is always even.

It is very important to understand that there are periods of “natural” growth of “OI” when the futures contract becomes relevant.

Long-distance contracts are always “empty”. But the closer to the actual date of the contract, the greater the “OI” will be. And if the life of the contract comes to an end, then there is a natural drop in the number of open contracts. Since traders close positions in old contracts and transfer them to new ones, which are more relevant.

All. This is the whole logic of “open interest”. Why is it so interesting to traders? Well, to be honest, this is an additional stream to the standard pure stock exchange information:

1. (as the resultant of the first two).

In conditions where the accuracy of information is decisive, obtaining additional and free “clean” information is always useful. And if its understanding is inaccessible to the majority, then this is also an advantage.

Our Moscow Exchange provides a real-time data stream! There is no such opportunity at CME!

What is the secret and difficulty?

“OI” does not provide future direction. Doesn't show whether it's long or short! You must understand this. The exchange would not give away information that reveals secret data.

I once read in an analytical article from a brokerage company that since “OI” grows on an upward trend, the trend will be stable. This is wrong. For open interest to grow, both a buyer and a seller are needed. Also for falling. Ponder this thought.

We have identified several of the most effective reading methods for ourselves. All of them are implemented in the Inside MMA terminal:

• Bundle with ribbon. When you can track changes in each transaction. It sounds cool, but there is an error here. And the error is that if there is not a “pure” purchase + “pure sale”.
• Determining the percentage of speculative trading activity. An interesting aspect that allows you to evaluate the ratio of trading volume to new money... or, conversely, the withdrawal of capital from the futures.
• Segmentation of the open interest flow separately by purchases and sales. Separate accounting. This works well at horizontal levels.
• Alerts for too large a change in the number in one trade.

The most optimal thing is to use the “OI” figure as an indicator of the involvement of new participants in trade. And a drop in this number is the way out. Unfortunately, predicting a trend using this data stream is not very accurate. But it’s always good to understand when new money comes. More eyes are watching the movement, which means the movement can turn out to be more emotional.

Let us remind you: It would be a cardinal mistake to assume that if the number of “OI” falls during growth, then this is an exodus of buyers. It is more correct to consider that this is a way out for both buyers and sellers. Attracting this to a trend is an assumption. And very serious.

Let us remind you once again under what condition the contract disappears: only in the event of a meeting of orders from the holder of a net long position and the holder of a net short position. In this case, the contract “collapses”.

Where can I get information about the current number of open contracts?

It's in the terminal "Inside MMA". The value is available at any time during the current trading session. Both in absolute value and over the period:

By the way, options also have “open interest”! Any derivative that has an underlying meaning will have open interest.

The most current information is also available on the exchange website. On the page of each futures contract.
By the way, the options board shows the number of open contracts for each strike. This is also an interesting point in the analysis! The more experience you have in reading the market, the more different nuances you will find in patterns that are associated with the number of open futures contracts.

What other methods exist?

1)In the “Inside mma” terminal, the DELTA LI (Delta bs) measurement module is implemented. Separately for purchase transactions and sales transactions. This was done taking into account the impact of a market order. And allows us to see the division of priorities. How can this be used for market research? The most optimal thing is segmentation by transaction size. Just like in the feed. Only with delta according to “OI”. True, it takes up a lot of space...you will need 4 graphics for each contract. But it's good to try.

2) There is also an OHLC open interest chart in the terminal. Available in our terminal and in quick.

3) Segmentation into legal entities and individuals. A classic table that is provided by almost any derivatives exchange. When I learned about it for the first time, I thought: “This is it!” Grail!))". But the reality turned out to be more boring. There is even a whole area of ​​analysis of such reports. But for active trading they certainly do not provide an incredible advantage. Which is logical. You can see the change in rankings separately for these two categories. It is believed that legal entities are “Smart money”, and individuals are the crowd.

What is its disadvantage? It is given back at the end of the day. No real time. No identification of where exactly. It is necessary to conduct detailed analysis at the end of the day to try to understand where exactly the trades were. For real time, we use the terminal, look for a surge in trading activity, then the biggest changes. We are trying to find patterns.

What's the plus? The magical division of transactions into categories of individuals and legal entities. In conditions of complete impersonality of transactions, such information is very interesting. At least not exactly, only at the end of the auction, but segmentation. The market becomes a little less impersonal for the trader.

It is believed that accounts of legal entities are the same “smart money” (smart money) ... but from the perspective of your experience you should not place high hopes on them. Everyone makes mistakes.

Typically, traders prefer to believe that they need to trade against the crowd. That is, we look at what happens to the “OI” indicator of legal entities. persons, and then we take their side. If you do this, then always look at the relationship with the trend. By the way, it is better to do this not in a trend, but in consolidations. In this case, the efficiency will be better. Much!

Good luck learning this stock flow.

In stock trading, many people look at open interest on charts. In the Kwik trading terminal, I also configured information about open positions. I use interest openings as additional information: new money is coming in or money is leaving the market. In my opinion, it is impossible to predict price movement based on open interest, and in general, predicting price movement in the future is not a rewarding and harmful task. We need to trade what we see now. There is information on the Internet on how to read it. The OP will be drawn here as a determinant of “wind”, i.e. directions for transactions. But in my opinion, it is useless and unnecessary to consider it this way. You can view open positions on derivative financial instruments on the Moscow Exchange at the following link:

This is the number of open futures or options contracts. An open contract can be a buy or sell contract that has not yet been executed, closed, or expired.

Open interest = Amount of short positions + Amount of long positions

increases when the buyer and seller enter into a new contract. In this case, the buyer opens a long position, and the seller opens a short position.

decreases if the parties terminate existing contracts. In this case, the buyer sells his long position, and the seller closes his short position.

Market strength based on price, volume and open interest.

Difference between open interest and volume is that volume reflects the number of contracts bought and sold (market turnover), and open interest shows the size of the market (amount of available goods).

If the buyer has opened a new long position (buying futures), and the seller, in turn, has opened a new short position (selling futures), then the open interest will be equal to alone, and the volume will be equal two.

To understand market mechanisms, in my opinion, it is necessary to study open interest. It is necessary to observe open interest on the tick chart of the RTS index futures and superimpose a line chart of open interest on top of it and see how it behaves in a given situation.

How to set up an open interest in Kwik:

1. Add a new chart (indicator) to the chart

2. Click a new source in the “Add graph” table and select a new window - click yes. New window - if you want the open interest to be separate and below the price and volume chart. Or select window 1, open interest (line chart type, anchored to the left axis) will be superimposed as a line chart on the price chart.

Using Open Interest:

.Caught on patterns..
..Lured to the Formation..

COT reports are a summary of open transactions of all categories of market participants. Data is published weekly on Fridays at cftc.gov. The report is a table that indicates purchase and sale transactions of market participants, as well as spread transactions.

Of interest to a trader is the Dealer column, which shows open positions of brokers. The two columns Long and Short indicate purchases and sales, respectively. Brokers execute traders' orders, and in the report these transactions are indicated on behalf of the broker.

Therefore, for currency pairs in which USD ranks second:

• Preponderance of Long positions means massive sales
• The predominance of Short positions means massive purchases

For currency pairs in which USD ranks first:

• Preponderance of Long positions means massive purchases
• Preponderance of Short positions means massive sales

The share of the advantage of one column must be at least 30% of the total number of open transactions.

Thus, using COT reports, a trader can assess the direction of a long-term trend.

Daily open interest reports are provided on the Chicago Exchange website. Open Interest (OI) is the total number of open purchases and sales in the market. Each day the reports indicate changes in open interest, the total number of open trades may increase or decrease. Recently, OR reports have been provided in the form of pdf files. Information is provided every day before the opening of the European session. The trader can evaluate the actions of market participants over the past day.

• An increase in the number of open transactions informs the trader about the emergence of new transactions in the direction of price movement.
• A decrease in the number of open transactions, on the contrary, indicates a partial closure of transactions by market participants.
• OI data should be used with an eye to the long-term trend. In a situation where the long-term trend is downward and a falling day appears with an increase in OI, the trader should look for sales. In the case of an uptrend, you need to look for growing days with increasing OI.

COT reports– one of the fairly effective methods of market analysis. It must be said right away that the information from COT reports is more suitable for traders trading medium-term or long-term positions.

Every week, the CFTC (Commodity Futures Trading Commission) website publishes complete data on transactions - purchases and sales for the previous week by three groups of traders. Thanks to this information, the trader can see, as it were, the depth of the market, its cross-section.

Let's consider the classification of all market participants - there are three categories:

Hedgers or operators(Commercials). This is the largest group of participants in most markets. Hedgers are a real sector of the economy. As a rule, these are companies (manufacturers of goods) that have an interest in buying or selling goods at favorable prices and actively hedging possible commercial risks from unfavorable price changes. That is, this group of participants is characterized by counter-trend behavior.

Large traders or large speculators(Non-Commercial). This is the second largest group of participants in the futures markets. In most cases, various investment funds and banks. Their main goal is to make a profit on the existing difference between the contract sold and purchased. In the market, their behavior can be characterized as “trend continuation”, since their goal in the market is to take the risk of hedgers themselves and in return make a profit. This group of participants is as important as the hedgers, since speculators, by taking on all the risk of the hedgers, protect them, that is, they protect the real sector.

Small traders or small speculators(Non reportable positions). These are market participants who operate with small amounts of money. I consider this group, most often, as small speculators. Their goal is to make money solely on the difference. They are often called dumb money, since in general, due to a lack of experience, qualifications and information, they most often suffer losses.

COT TFF report(Traders in Financial Futures Report) divides all market participants into 4 categories:

• Dealer/Intermediary – dealer/intermediary. This group represents the “Sell Side” of the market (they sell financial instruments to other participants, their profit is commissions and spreads). Companies in this category create and sell various structural products to their clients. They typically have all the information about their clients' positions and offset their risks between clients and between different markets. This category typically includes large commercial banks, securities, swaps and other derivatives dealers.
• Asset Manager/Institutional – asset managers/institutionals. These are institutional investors, pension funds, insurance companies, mutual funds (mutual funds), as well as asset managers whose clients are institutional investors.
• Leveraged Funds - hedge funds. Also included in this category are registered CTAs (Commodity Trading Advisors), CPOs (Commodity Pool Operators), etc. The strategies of these market participants include taking long/short positions in the market, as well as arbitrage between markets or within the same class of instruments. Prop trading companies and speculative traders also fall into this category.
• Other Reportables – other reporting. These are all those who did not fall into the previous three groups. Traders in this group mainly use the market to hedge risks associated with production and business. This category typically includes corporate treasuries, central banks, lending institutions and mortgage borrowers.

Three Approaches to COT Data, on which the forecast of asset movement can be based:

Reversals in the direction of market positions are an accurate indicator of the trend.

Extreme historical number of trading positions in the market – identifies quite accurately important market reversals.

Changes in open interest – can be used to determine the strength of a trend in the market.

Extreme number of positions

Historically, the extremely large number of trading positions in the currency futures market quite accurately identifies the locations of major market reversals. The picture above shows extremely large positions by a group of non-commercial traders that coincided with price tops and subsequent reversals. The reason for this phenomenon is a huge concentration of speculators at these points, working in one direction, and there are no more people willing to buy or sell. As a result, the movement becomes exhausted and the price reverses.

Open Interest Changes

In market analysis, open interest is a secondary instrument. However, its correct interpretation provides an understanding of the dynamics of market prices. This data is mainly useful for investors and position traders as they look to make profits over the long term. Open interest can be used to measure the strength or weakness of an asset's price trend.

For example, the market is in a long downward or upward trend, while open interest is growing. A decrease or leveling off in open interest may be the first signal that a trend is nearing completion. In general, an increase in open interest indicates that aggressive buyers or new money are entering the market and indicates that the strength of the trend is increasing. Conversely, a decrease in open interest indicates that money is leaving the market and the trend is losing momentum. That is, trends that are accompanied by a decrease in volume and open interest are very unreliable. Falling open interest and rising prices signal that the trend is coming to an end as fewer traders participate in the rally (graph below).

Conclusion. Working with COT data and interpreting it allows you to identify medium/long-term market trends and is more suitable for the strategies of investors and position traders.

Market sentiment– one of the most important driving factors of trade. Its assessment is extremely important in trading practice, but unfortunately, it is often overlooked. There are various ways to measure the sentiment of the majority of market participants, but we will look at how this process is carried out by analyzing the open interest indicator.

Forex Market and Open Interest

Analysis of open interest in the derivatives market (futures, options) is a standard analysis tool, but for most traders who trade in the spot currency market, this topic is unfamiliar.

Therefore, to obtain volume and open interest data as important indicators of the strength of movements in the forex market, it is necessary to use open interest and volume data in the currency futures market.

The relationship between spot and futures foreign exchange markets

Unlike the spot currency market, which does not have a centralized trading platform and a unified accounting system, transactions in currency futures take place on exchanges, for example, the Chicago Mercantile Exchange (CME). These markets are quite interconnected, and data on volume and open interest in the futures market allows a trader to gauge market sentiment in the Forex market. The value of currency futures is determined mainly by the price on the spot market, which differs by the amount of forward swaps. The spot currency market involves the conclusion of a transaction for the delivery of cash currency within two days, while currency futures are concluded on the basis of standard contract sizes with a duration of three months.

The price of a currency in the futures market and in the spot market tends to move simultaneously and in one direction, that is, when the price rises in one market, it also rises in another market or vice versa.

Concept of open interest

Traders often confuse the concept of open interest with the concept of volume in the market.

It should be remembered that open interest is the total number of open contracts that have not yet been settled by delivery or counter transaction. That is, these contracts are still “open”. When a buyer opens a new long position, the seller also, but from the opposite side, opens a new short position, and the open interest increases by one contract.

It is also important to understand that if a new buyer buys from an old other buyer who is about to sell (close the position), then open interest does not increase because no new contract has been created. Open interest decreases if traders close positions. In the market, the open interest on total long positions is always equal to the total open interest on short positions. This situation is explained by the fact that for each buyer there is a seller, or, as he is also called, a counterparty, on the opposite side of the transaction.

Relationship between trend and open interest

In general, open interest increases when new money enters the market and traders bet on the current direction of the market. That is, usually an increase in total open interest favors the existing trend in the market and indicates its continuation.

Conversely, open interest decreases when traders withdraw money from the market, indicating a change in market sentiment, especially if open interest was previously rising.

If there is a stable trend in any direction (upward or downward), open interest should increase. This means that during an uptrend, long positions dominate, and during a downtrend, short positions dominate. A decrease in open interest is a potential warning sign that the trend is not strong enough to continue because no significant amount of money has entered the market.

Therefore, rising open interest typically indicates a continuation of the current price trend, whether it be an uptrend or a downtrend. A decrease or constant change in this indicator indicates that the momentum of the trend is weakening and it is likely to end soon.

If you are a Forex trader, then the question is: how often have you wanted to know how many transactions are open for a currency pair? Unfortunately, the answer to this question for Forex will remain unanswered. The derivatives market is a completely different matter. Here traders have an indicator of open transactions and it is called “open interest”.

Open Interest (OI) is the number of open contracts held open by sellers or buyers at a particular point in time. This wording means the following: open interest shows the sum of all sales or the sum of all purchases. That is, the OI reflects only one side of either bulls or bears. This is because there are always as many buyers as there are sellers.

Open interest increases if a new pair enters the market. The buyer and seller create a new contract. Let's assume that oil futures open interest is at 6,200 contracts. This means that there are 6,200 active buyers and 6,200 active sellers in the market. If the OI has grown to 6700, this means that 500 new participants have entered the market.

• New Forex strategies with full descriptions.

Open interest will decrease when the buyer who is open to buy closes his trade by selling it to the seller who is open to sell. Since they both close their trades, one contract will leave the market. Open interest will be reduced by one contract. If our buyer closed his deal by selling it to another buyer, then open interest will remain unchanged. This happens because the number of open transactions in the market remains the same.

Open interest, used in conjunction with market volume, provides very effective entry points. The example clearly shows the moment of reversal.

Open interest data is published on all exchanges. But in this sense, the domestic market has something to be proud of. The fact is that foreign exchanges provide open interest only once a day, after the close of the trading day. But in the FORTS market, open interest data is delivered tick by tick. With each price change, the trader can observe the current open interest reading.

So, thanks to open interest, the trader can easily say what will happen next: rise or fall. Let's say a trader sees a price increase, but open interest shows that the further the price rises, the fewer contracts are traded. This means that traders are not ready to buy more and a price reversal is possible.

How does a reversal happen?

The trader adds the volume readings to the open interest and compares them. If the price begins to fall, while the volume of transactions increases and open interest grows, then this is the beginning of a downward trend. It's worth selling here.

Open Interest + Market Volume is the best filter for any strategy. Does the trader trade by levels? Great, - volume and interest will tell him when the breakout of the level is false and when it is valid. Does the trader use the news? Great, the volume and interest will give him an idea of ​​how market participants are reacting to this news, and whether to expect a big movement from this news. Using the example, we see how open interest helps to find entry points according to the trend.

As a rule, it is enough for a trader to try trading using open interest once for it to become his reliable guide forever.