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Date/Time: Wed, 08 May 2024 02:02:25 +0000

How to Post a Message for Support

Post From: CL Calendar Spread

[2019-02-22 17:57:42]
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Chad - Posts: 231
Thanks, I think I found the appropriate functions to use for a snapshot as you mentioned...for futures OI, as-listed in DTCprotocol.cpp, line 1994:
s_MarketDataUpdateSessionOpen_Int::GetMessageSize()
As for expiration date, would
s_SecurityDefinitionResponse::GetSecurityExpirationDate()
(line 5776) be appropriate? The word 'security' in this makes me wonder.

Otherwise I could simply use a Quote Board and enable the fields 'OpenInterest' and 'LastTradingDate', but it seems I would have to manually manage that.
Date Time Of Last Edit: 2019-02-23 22:10:25