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IMO it doesn't work at all because IQFeed plots the front month OI data only. So everytime that contract approaches expiration OI naturally falls giving a misleading signal.
Please see below pictures. The first two show a difference between IQFeed and CFTC COT weekly for Soybeans 5/12/15.
The last one shows a picture from Barchart for the Daily "Continuation" contract. Now I am not sure how Barchart computes the continuation of Open Interest but I assume its the sum of all contracts for a given instrument at a point in time and not the front month only (if that makes sense). This is the one that CFTC publishes weekly and I believe offers a trading signal.
Just trying to give some closure to this thread, here's the answer from IQFeed:
Unfortunately we don’t have to total commodity OI in IQFeed yet (just the individual contracts OI). It’s going to take a little development to make it available and likely would be a few months.
We do have it available in ProphetX if you would have interest in looking at that platform.
Commodity OI and Contract OI as well as Commodity Volume and Contract Volume are certainly provided by CQG with their charting front-ends (which are IC and QTrader). Those are also available as Quote Spreadsheets numeric data (I'm currently seeing them on my screens) and can also be exported into Excel. Not sure if it works with MC though. I do not have MultiCharts so I can't check it but you can try.
@Alphachase do you know if you are able to backtest a strategy with Total Open Interest using CQG?
If so, what CQG product? There are several in their webpage and I am not familiar with that platform.
I'll check it out for you either tonight or during the WE (it will require some programming) but most likely yes b/c programming of indicators is very easy on those platforms. The Volume/OI study is available on both Integrated Client and QTrader.
Basically QTrader isn't that expensive ($40 per month) and you can also request a free 2-week trial.
@ElChacal
I checked it out for you and yes you can backtest an entry or exit signal (based on OI study) on QTrader. I didn't know what you were looking for but I applied entry/exit signals (Simple MA of OI Commodity and OI Commodity cross) and successfully performed the backtest.
However you can also apply more complex study signals for a backtesting.
So, you can just request 2-week free demo and give it a try.