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Commitments of Traders - Historical Data

by QuantShare, 2673 days ago
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This item downloads futures only reports of commitments of traders (COT) for several futures contracts.
The data is retrieved from the U.S. Commodity Futures Trading Commission website (cftc.gov); it is then parsed and inserted into a custom database 'commitments_traders'. The data is the aggregate values that are reported by all the exchanges. (The data is aggregated within the item using the pre-script tool).
The Commitments of traders' database contains 31 fields.

Here is the description of each field:
Date: The release date of the commitment of traders report
open_int: The open interest
prod_long: The Producers-Merchant-Processor-User long positions
prod_short: The Producers-Merchant-Processor-User short positions
swap_long: The swap dealers long positions
swap_short: The swap dealers short positions
swap_spread: The swap dealers spread. This field is available only for non-commercial traders. If a traders hold 200 long contracts and 150 short contracts for the same future contract then 50 contracts will appear in the Long field and 150 contracts will appear in the Spread field.
mm_long: The money managers long positions
mm_short: The money managers short positions
mm_spread: The money managers spread
other_long: The other reportables long positions
other_short: The other reportables short positions
other_spread: The other reportables spread
nonrep_long: The nonreportable long positions. Nonreportable are generally small traders and individuals.
nonrep_short: The nonreportable short positions
total_long: The total number of long positions
total_short: The total number of short positions
traders_prod_long: The number of Producers-Merchant-Processor-User that entered a long position
traders_prod_short: The number of Producers-Merchant-Processor-User that entered a short position
traders_swap_long: The number of swap dealers that entered a long position
traders_swap_short: The number of swap dealers that entered a short position
traders_swap_spread: The number of swap dealers that are spreading
traders_mm_long: The number of money managers that entered a long position
traders_mm_short: The number of money managers that entered a short position
traders_mm_spread: The number of money managers that are spreading
traders_other_long: The number of traders not included in the above categories that entered a long position
traders_other_short: The number of traders not included in the above categories that entered a short position
traders_other_spread: The number of traders not included in the above categories that are spreading
traders_total: The total number of traders
traders_total_long: The total number of traders that entered a long position
traders_total_short: The total number of traders that entered a short position


The downloaded COT report is different from the legacy report, which you can get here Commitments of Traders. This new report increases transparency by reporting five categories instead of three.
The old three categories were: Commercials traders, non commercials traders and nonreportable positions. The five new categories are: Producer-Merchant-Processor-User, Swap dealers, Money managers, other reportables and nonreportable.
The commitments of traders or COT data is released weekly. This item can download data that goes back to 2006.

Before starting importing data, you can use the symbols input box to map the contract names with the futures symbols. Each line refers to a contract and this contract is assigned to a future symbol.
I have already added all the contracts, but not all have a symbol assigned to them.
Example:
COCOA = CC
COFFEE C = KC
COPPER-GRADE #1 = HG
CORN = C
BRENT FINANCIAL=
The COCOA contract will be associated with the symbol CC, while the BRENT FINANCIAL contract will not be parsed. The format as you can see is [Contract name] = [Symbol name].
You can get futures symbols with Futures symbols and download historical EOD data with this item: Futures and Forex historical data. Or you can use the Futures, Forex and Indices Symbols and Futures, Forex and Indices Data.


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Type: Download Script

Object ID: 348


Country:
United States

Market: Futures Market

Style:
Technical 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.