As I understand, the nest trader gives the Open Interest data, The nest is a Reuters tool. You guys have Reuters back end for the data. Then why is Open interest data not coming from the API ? Also what are the plans for the OI data? Are we going to get it through the API? If yes by when?
We don't use TR for live market data. We get live market data directly from the exchange.
We will include open interest in next version of websockets.
Hope it is done at the earliest.
It will be added in the next version of Websockets. We are working on new websockets architecture. It might take a while to make it production ready. As of now, we can't guarantee any timeline.