You are right. I think open interest is not reported intra day.
________________________________ From: nonlinear5 <[email protected]> To: JBookTrader <[email protected]> Sent: Fri, November 19, 2010 5:45:59 PM Subject: [JBookTrader] Re: Volume > If you are trading ES futures, have you tried to normalize volume by open > interest? No, I have not. My guess is that open interest doesn't change much during the day, so normalizing volume would be equivalent to dividing volume by a constant (which I did try to make average volume fit in about the same range as balance velocity). -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
