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Patrick,
If your system requires absolute accuracy than open interest is simply the wrong
variable to use. There is simply too much "noise' in the open interest numbers.
They are a decent representation over time, but they are an exact measure. More
importantly how has your modeling, using the current data worked?
There are all kinds of problems with open interest including the customer double
counting so they should never be assumed to a real precise measure.
Sorry...
Patrick Slevin wrote:
> Could you please clarify something? I use EOD O.I. numbers for Neural Net
> modeling and I wonder, as the result of your post, whether I might be
> inadvertently instilling "leaks".
>
> That is, when you say that the "aggregate" may change, would that mean:
>
> If Monday was originally reported as having 2,000 Open OEX Puts, for example,
> but then on Tuesday Close it was changed to 2,500.
>
> A: Would the Monday Close be "back adjusted" to 2500
>
> or
>
> B: Would Monday's Close remain the same for reporting purposes and Tuesday
> would be "adjusted" to reflect the missing 500 contracts.
>
> This is important for me to know, because if a Neural model encounters changes
> in past history the Neural signal may change. That is to say, if the model
> "thinks" there are 2,000 puts open on Monday it's signal may be to Sell. If I
> tell it on Tuesday that Monday was really 2,500 then it may go back and change
> that sell signal to a Buy.
>
> Obviously, if the O.I is back adjusted then I must discard it as a variable
> for Net modeling.
>
> Thanks in advance,
>
> --Pat Slevin
>
> The answer to your question is no. In the securities industry the OCC
> calculates the open interest and supplies it back out to the data vendors.
> They make a best efforts attempt to deliver it prior to the opening of
> business, but there is no statutory requirement.
>
> Also the OI numbers are prone to large revisions, these would occur most often
> in the most actively traded instruments, and any revision would be difficult
> to spot because it would merely show as a change in aggregate...since there
> is a one day lag it would be difficult to discern between actual trading
> activity and any revision.
>
> Jack Higgins wrote:
>
> > Good day all,
> >
> > Are the exchanges required to post the final open interest numbers from
> the
> > previous day by a certain time? I use EOD data so my numbers are a day
> late
> > and the exchange sites do not seem to have a consistent posting time,
> > usually later in the afternoon. I am trying to find a site to get the
> > previous days open interest prior to the markets opening time - any
> > suggestions?
> >
> > Thanks,
> > Jack
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