Open Interest From Market Maker

Discussion in 'Automated Trading' started by Nickvac, Aug 29, 2008.

  1. Nickvac


    Is there anyway to calculate open interest from a market maker? More specifically I'm trying to calculate open interest on yoonew's exchange. They don't post it and I was wondering if there's any way to calculate it by changes in prices.
  2. What do you trade?

    ie.. ES option quotes at display open interest.

    Maybe settlement snapshot will suffice and seed your data for the next trading session. Open Interest can not be calculated from time and sales data.