Free COT data provider

Modified on 2014/11/30 11:39 by Eugene — Categorized as: Providers

What it is

This is a static provider that downloads Weekly legacy historical COT (commitment of traders) data provided by

New DataSet Wizard

New DataSet Wizard

Available COT symbols

The legacy report is broken down in three categories: Commercial traders, Non-commercials traders and Nonreportable positions (small traders). We prefer the traditional report whose interpretation guidelines are widely available and which also has the benefit of having more historical data.

Currently, provider includes Futures only COT data in "legacy" format for the following market groups:

// Indices
CRB Briese CRB Index
DJ Dow Jones Industrial Average (CBOT)
YN Dow E-mini
ND NASDAQ-100 Index (CME)
NK NIKKEI Stock Average (CME)
SP S&P 500 Index (CME)
EP S&P500 E-mini
GI S&P GSCI Commodity Index (CME)

// Metals
HG Copper Grade #1 (COMEX)
PL Platinum (NYMEX)
SI Silver (COMEX)
PA Palladium (NYMEX)

// Currencies
AD Australian Dollar (CME)
BP British Pound Sterling (CME)
CD Canadian Dollar (CME)
CU Euro FX (CME)
DI U.S. Dollar Index (NYBOT)
JY Japanese Yen (CME)
PE Mexican Peso (CME)
SF Swiss Franc (CME)
RU Russian Ruble (IMM)

// Financial
ED 3-Month Eurodollars (CME)
EM 1-Month LIBOR Rate (CME)
FV 5-Year U.S. Treasury Notes (CBOT)
TU 2-Year U.S. Treasury Notes (CBOT)
TY 10-Year U.S. Treasury Notes (CBOT)
US U.S. Treasury Bonds (CBOT)

// Grain
BO Soybean Oil (CBOT)
C Corn (CBOT)
KW Wheat (KCBOT)
MW Wheat (MGE)
O Oats (CBOT)
RC Rough Rice (CBOT)
S Soybeans (CBOT)
W Wheat (CBOT)

// Meat
FV Feeder Cattle (CME)
LC Live Cattle (CME)
LH Lean Hogs (KCBOT)
PB Pork Bellies (CME)

// Food/Fiber
CC Cocoa (NYBOT)
CT Cotton No. 2 (NYBOT)
KC Coffee C (NYBOT)
LB Random Length Lumber (CME)
OJ Frozen Concentrated Orange Juice (NYBOT)
SB Sugar No. 11 (NYBOT)

// Petroleum
CL Crude Oil, Light Sweet (NYMEX)
HO No. 2 Heating Oil, N.Y. Harbor (NYMEX)
NG Natural Gas (NYMEX)
RB Gasoline Blendstock (RBOB)(NYMEX)

// Other
RM Russell 2000 Stock Index Mini (CME)
RR Russell 2000 Stock Index Future (CME)
VX VIX Futures (CBOE)
DX Briese US Dollar Index

How data is stored

Each symbol has a description of the contract/instrument. Here is the COT data file key:


SetBarColors(Color.Gray, Color.Gray);

Bars commitment = GetExternalSymbol("Commitment Of Traders", "AD", true );

DataSeries largeFundsLong = commitment.Open; DataSeries largeFundsShort = commitment.High; DataSeries commercialLong = commitment.Low; DataSeries commercialShort = commitment.Close; DataSeries nonReportableLong = commitment.Volume; DataSeries nonReportableShort = commitment.FindNamedSeries("SmallTraderShort");

ChartPane cPane = CreatePane(50, false, true); PlotSeries(cPane, nonReportableShort, Color.Blue, LineStyle.Dashed, 1);

Alternative provider

There's an alternative provider for COT data: Quandl. Unlike this "legacy data" provider, it includes Open Interest and supports the CoT data in "new format".

Further reading