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Index Investment Data for U.S. Futures Markets

by QuantShare, 2930 days ago
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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


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Type: Download Script

Object ID: 1064


Country:
United States

Market: Futures Market

Style:
Fundamental Analysis

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.