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How to fetch historical "Market Open Interest" using eikon R API?

Hi,

I need to know how one can fetch the Market Open Interest using eikon R API. I have no idea about its fields name. I know how to collect Open Interest using eikon R API. Below is an example

get_data(list("LCOc1"),fields = list('TR.OPENINTEREST.Date', 'TR.OPENINTEREST', '2000-01-01', '2020-05-25'))

but I want to know how one can fetch Historical Market Open Interest. Below graph shows the difference between Open Interest and Market Open Interest.

The above subplot is of OI while below subplot is Market OI. Kindly help.

Thank you

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Hi @niket.chauhan Thanks for your question - I believe market open interest is the sum of all open interest for all contracts in the futures chain - unfortunately this is not a field available via the Eikon Data API and will need to be computed.

For today you can get this using:

ek.get_data(list('0#1S:'), fields = list('OPINT_1'))

and then summing the OPINT_1 field.

To do this historically is a two-step process. First you need to get the futures in the chain using:

Python:

df, err = ek.get_data('0#1S:', fields = 'CF_NAME')

R:

ek.get_data(list('0#1S:'), fields = list('CF_NAME'))

Then you need to get the open interest value for each contract for each day of history you want with a second API call.

Python:

df1, err = ek.get_data(df['Instrument'].astype(str).values.tolist(), ['TR.OPENINTEREST.date','TR.OPENINTEREST'],{'SDate':'0D','EDate':'-10D'}) 
df1

R: sorry you can probably convert this better than me!

Python:

df1.groupby('Date')['Open Interest'].sum()

R: ditto

I hope this can help.


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Thank you for the Answer @jason.ramchandani . Really Helpful

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