Commitment Of Traders Report

The Commitments of Traders (COT) is a market report by the Commodity Futures Trading Commission (CFTC), listing the holdings of participants in futures of financial instruments, metals, and other commodities. It is believed by some traders to give insight into the upcoming development of those markets. The CFTC releases a new report every Friday at 3:30 p.m. Eastern Time, and the report reflects the commitments of traders on the prior Tuesday.

The following functions return selected parts of the COT report, and work likewise in backtest and live trading:

COT (int Handle, string Code, int Field): var

Downloads the COT report with the given Quandl Code and stores it in the dataset with the given Handle. Returns the positions determined by the Field number for the time of the current bar.

COT_CommercialPos (int Handle, string Code): int

As before, but returns the net commercials position, i.e. the difference producer + swap dealer longs - producer + swap dealer shorts.

COT_CommercialIndex (int Handle, string Code, int TimePeriod): var

As before, but returns the commercials net position normalized over the given TimePeriod and scaled to 0..100.

COT_OpenInterest (int Handle, string Code): var

As before, but returns the open interest.

Returns:

Positions, net positions, or index.

Parameters:

Handle	Dataset handle for storing the report. Every report needs a dedicated handle.
Code	The Quandl code number of the report; normally 6 digits or letters. Can be looked up under https://www.quandl.com/data/CFTC-Commodity-Futures-Trading-Commission-Reports. The "CTFC/" prefix and "_F_ALL" suffix of the Quandl database are automatically added.
Field	The field of the report: 1 = open interest, 2 = producer long positions, 3 = producer short positions, 4 = swap dealer long positions, 5 = swap dealer short positions, 6 = noncommercials long positions, 7 = noncommercials short positions.
TimePeriod	The number of bars for calculating the index.

Remarks:

For retrieving the COT report, Zorro S and a Quandl key is required (to be entered in Zorro.ini).
The report is only downloaded when needed at the begin of the strategy. Subsequent function calls access the dataset only. Downloaded reports are stored in the History folder.
The source code of COT functions can be found in contract.c, which must be included. Note that the functions use the new COT report structure with the field names listed in the comment. If you're downlaoding a COT report with a different structure, copy the COT functions in your script and adapt the conversion string as described under dataParse.

Example:

#include <contract.c>

// Database symbols and codes below are just for illustration.
// Current available symbols can be found on the Quandl / NASDAQ website.
function run()
{
  StartDate = 2015;
  EndDate = 2018;
  BarPeriod = 1440;
  LookBack = 12*20;
  set(PLOTNOW);
  
  if(is(INITRUN)) {
    assetAdd("GOLD");
    int Handle = assetHistory("CHRIS/CME_GC1",FROM_QUANDL|VOLATILE); // load gold futures history
    if(Handle) dataSave(Handle,"GOLD.t6");
  }
  asset("GOLD");
  string COT_Code = "CFTC/088691_F_ALL";
  var Ind = COT_CommercialIndex(1,COT_Code,6*20); // gold COT report
  plot("Fast Index",Ind,NEW,RED);
  var Ind2 = COT_CommercialIndex(1,COT_Code,12*20);
  plot("Slow Index",Ind2,0,BLUE);
}