How to change frameserver file format If you set the output to frame server you will get images at localhost:8080/images/ppm/1.ppm

is it possible to change the format from ppm to open exr for example ?
It's not possible right now. 

The frame server is implemented in source/blender/blenkernel/intern/writeframeserver.c .As of 2.78c, Blender will only respond with a PPM image, but it looks like other formats can be easily added.