Open Interest is sent using Market Data Incremental Refresh message data blocks which contain the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. They are sent before the start of the trading session. Tag 5796-TradingReferenceDate indicates the Open Interest trading session date, which is the previous trading day. Tag 279-MDUpdateAction will be set to 0 = New and tag 269-MDEntryType will be set to C = Open Interest. Tag 271-MDEntrySize will contain the quantity or volume of the Open Interest.
Client systems can leverage the Security Definition (tag 35-MsgType=d) message to recover the last published open interest for an instrument.
On Sunday start, the Security Definition (tag 35-MsgType=d) Message is published initially to the Instrument Definition feeds and the Market Data Incremental Refresh feeds without tag 5792-OpenInterestQty.
Once open interest is sent in the Market Data Incremental Refresh (tag 35-MsgType=X) Message, the value of open interest from tag 271-MDEntrySize is included in the Security Definition (tag 35-MsgType=d) message in tag 5792-OpenInterestQty and maintained on the Instrument Definition feed only.
As open interest updates are disseminated, once per day, on the Market Data Incremental Refresh feed, the value of tag 5792-OpenInterestQty is updated.
If open interest is 0, Security Definition message tag 5792-OpenInterestQty=0.
FIX Syntax for Open Interest
|279||MDUpdateAction||Char||0||Type of Market Data update action.|
0 = New
|269||MDEntryType||Char||C||Type of Market Data Entry.|
C = Open Interest
|48||SecurityID||Int||Unique instrument ID as qualified by the exchange.|
|83||RptSeq||Int||Sequence number per Instrument update.|
|271||MDEntrySize||Qty||Quantity representing Open Interest updated once per day.|
|5796||TradingReferenceDate||LocalMktData||Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.|