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Commitments of Traders Report for Financial Futures
The current downloader gets COT or Commitments of Traders report for financial futures. It gets data for several futures including:
Swiss Fance, British Pound Sterling, Euro FX, Japense Yen, Russian Ruble, DJIA, Dow Jones Industrial Average, S&P 500, E-Mini S&P 500, NASDAQ 100, Sussell 2000, Nikkei Stock Average, E-Mini MSCI, U.S. Treasury Bonds, 2-Year U.S. Treasury Notes, Interest Rate Swaps 10-Yr, U.S. Dollar Index, VIX Futures...
The Commitments of Traders report for financial futures has several fields including:
Open Interest
Dealer/Intermediary Long Positions
Dealer Short Positions
Asset Manager/Institutional Long Positions
Asset Manager Short Positions
Asset Manager Spreading
Leveraged Funds Long Positions
Leveraged Funds Short Positions
Leveraged Funds Spreading
...
In the "Symbols" field, type the security symbol that corresponds to the futures contract name.
For instance, if the ticker symbol of the Canadian dollar futures is "CD" then in order to download report data for the Canadian Dollar type "CD" next to it (CANADIAN DOLLAR=CD).
The COT report is downloaded from the U.S. Commodity Futures Trading Commission website (cftc.gov). The complete disaggregated Commitments of Traders Futures report is available here Commitments of Traders - Historical Data. It contains data for all other futures (Agriculture, Energy, Metals...).
Note that this item uses the same database created by Commitments of Traders - Historical Data. The database name is "commitments_traders".
"Prod_Merc" field corresponds to Dealers
"Swap" field corresponds to Asset Managers
"M_Money" field corresponds to Leveraged Funds
Examples that use the COT report:
- Plot the Dealer or Intermediary Long Positions:
On a new pane, click on "Add Indicator", select "Databases/Fields" tab, select "commitments_traders" database then finally pick the "prod_long" field.
Alternatively, you can right click on a pane, select "Edit Formula" then type the following trading formula:
a = GetData('commitments_traders', 'prod_long', LastData);
Plot(a, "prod_long", colorBlack, chartLine, StyleSymbolNone);
- Create a trading system that buys a futures contract if the Asset Manager Short Positions is higher than 2 times the Leveraged Funds Short Positions
