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Index investment activity on the commodity markets is compiled then released by the Commodity Futures Trading Commission. Certain Swap dealers and index traders must file monthly reports with the CFTC just after the end of each month. For more information please visit the below link.
The index investment data contains the notional values and the corresponding number of futures contracts for different U.S. futures markets. This includes Cocoa, Coffee, Copper, Corn, Cotton, Feeder Cattle, Gold, Heating Oil, Lean Hogs, Live Cattle, Natural Gas, Platinum, Silver, Sugar, WTI Crude Oil...
The data is saved under a database whose name is "index_inv".
This database contains the following fields:
v_long: The notional value in billions of dollars of the long futures positions
v_short: The notional value of short futures positions
v_net: The difference between the long and short positions
c_long: The number of long futures contracts
c_short: The number of short futures contracts
c_net: The difference between the number of long and short futures contracts
For additional information about this report, please read the explanatory notes:
http://www.cftc.gov/MarketReports/IndexInvestmentData/ExplanatoryNotes/index.htm
The U.S. Commodity Futures Trading Commission releases also a much more detailed and complete report called Commitments of Traders.
Data downloader for Agriculture, Energy and Metals futures markets is available here: Commitments of Traders - Historical Data.
Data downloader for the Financial futures market is available here: Commitments of Traders Report for Financial Futures
