Obtaining Open Interest values not for the current bar - page 6

[[Deleted]]

fxsaber:
That's the way it's supposed to be! This is the MT5 difference. On the exchange, as we can see, the total is zero, as it should be.

And what is the solution to this problem at your discretion?

[fxsaber]

Alexander Antoshkin:
And what is the solution to this problem at your discretion?

A reflection of the real state of affairs in the certificate.

[[Deleted]]

fxsaber:
A reflection of the real state of affairs in the help.

OK, I support you, but this can also be solved programmatically, can't it?

[fxsaber]

Alexander Antoshkin:
Ok, I support you, but it can be solved programmatically, can't it?

The stock exchange has these values

• BUY_physics
• BUY_physics
• SELL_physics
• SELL_yurikas

There is always equality BUY_physics + BUY_forensics == SELL_forensics + SELL_forensics.

MT5 returns two values, which are not clear yet what they show. If they are related to OM, they should return some mathematical combination of the four above-mentioned values.

[fxsaber]

Dmitriy Skub:
The dot has already been put here. Then it will be a dotted line)

Read chapter2.2. The concept of "open interest" and "total number of open positions". From the description, as it seemed, it appears that MT5 returns anything but OI.

Trading on the exchange, writing applications for the Market, and for some reason they don't notice the obvious discrepancies.

[[Deleted]]

victor51152:

If the Pinkertons here manage to separate the legal entity from the individual ..... can you imagine what a mess that would make?

[Vladimir Karputov]

Regarding the parameters

SYMBOL_SESSION_BUY_ORDERS_VOLUME	Total volume of buy orders at the moment	double
SYMBOL_SESSION_SELL_ORDERS_VOLUME	Total volume of sell orders at the moment	double

made a request to the exchange. There is a strong belief that these are real parameters, but they are not posted on the moex website as they are chargeable.

[Vladimir Karputov]

So here's the deal. Here is the correlation between MetaTrader 5 and QuickBooks:

MetaTrader 5	Quickquick
Total volume of buy orders at the moment	Total demand
Total volume of sell orders at the moment	Total supply

100% match in numbers.

[fxsaber]

Karputov Vladimir:

So here's the deal. Here is the correlation between MetaTrader 5 and QuickBooks:

MetaTrader 5	Quickquick
Total volume of buy orders at the moment	Total demand
Total volume of sell orders at the moment	Total supply

100% match in numbers.

What do these word combinations mean in QuickBooks?

[fxsaber]

Karputov Vladimir:

So here's the deal. Here is the correlation between MetaTrader 5 and QuickBooks:

MetaTrader 5	Quickquick
Total volume of buy orders at the moment	Total demand
Total volume of sell orders at the moment	Total supply

There is a 100% match in the numbers.

Quote from Finam

Total Demand - Quantity of securities in all buy orders, in lots

Total Bid. - Quantity of securities in all bids, in lots.

I.e., as expected, it is not OM, but the sum of all bids (excluding icebergs) of the respective side of the cup.

But only then it turns out that MT5 does not completely translate the cup - the sum of bands is less than these values. Oh, and how could anyone say it's OI! When there is SYMBOL_SESSION_INTEREST in black and white. And its history is available!

Expert Advisor to check

class BOOK
{
protected:
  MqlBookInfo Book[];
  
public:
  const string symbol;
  BOOK( const string Symb = NULL ) : symbol((Symb == NULL) ? _Symbol : Symb)
  {
    ::MarketBookAdd(this.symbol);
    
    this.Refresh();    
  }
  
  ~BOOK( void )
  {
    ::MarketBookRelease(this.symbol);
  }
  
  bool Refresh( const string Symb = NULL )
  {
    return(((Symb == NULL) || (Symb == this.symbol)) ? ::MarketBookGet(this.symbol, this.Book) : false);
  }

  uint GetAmount() const
  {
    return(::ArraySize(this.Book));
  }
  
  const MqlBookInfo operator []( const uint Pos ) const
  {
    const MqlBookInfo Tmp = {0};
        
    return(Pos < this.GetAmount() ? this.Book[Pos] : Tmp);
  }
  
  long GetSumVolume(const ENUM_BOOK_TYPE Type = BOOK_TYPE_SELL ) const
  {
    const uint Amount = this.GetAmount();
    long SumVol = 0;
    
    for (uint i = 0; i < Amount; i++)
      if (this.Book[i].type == Type)
        SumVol += this.Book[i].volume;
        
    return(SumVol);    
  }
};

#define  TOSTRING(A) #A + " = " + (string)A

BOOK Book;

void OnBookEvent(const string &symbol )
{  
  if (Book.Refresh(symbol))
    ::Comment(TOSTRING(Book.GetSumVolume(BOOK_TYPE_SELL)) + "\n" +
              TOSTRING(::SymbolInfoDouble(_Symbol, SYMBOL_SESSION_SELL_ORDERS_VOLUME)) + "\n" +
              TOSTRING(Book.GetSumVolume(BOOK_TYPE_BUY)) + "\n" +
              TOSTRING(::SymbolInfoDouble(_Symbol, SYMBOL_SESSION_BUY_ORDERS_VOLUME)) + "\n");
              
  return;
}