How do I obtain historical open interest data for futures?

Tick-by-tick data is available via the TWS API, and corresponds to the data received in the Time & Sales window of TWS. It is possible to request both real-time and historical tick-by-tick data. Please see the relevant section of the TWS API documentation…

ADD UK LSE EQUITIES MARKET DATA

The market data subscription for UK stocks and ETF at the LSE is UK LSE Equities. With regard to TWS real time charts on a Stock (SMART) ticker, when a product is listed on multiple markets it is required to have market data subscriptions for all the markets it is listed on. You can open a chart on a Stock (Directed) ticker if you want to see real time chart from a specific market. More information on how to…

Open Interest data is available from the API by using the generic tick types 101 (for Option Open Interest) or 588 (for Futures).

Additional Information…

The TWS API offers the ability to use continuous futures (secType=CONTFUT), which automatically presents the front futures contract. Only historical data can be requested for this security type. Continuous futures cannot be used for:

• Placing orders…