COT Report

The COT Report updates point to the following links:

Single chart
Double chart


How these Commitment of Traders reports are created:

• Pull down the CBOT continuous contract futures time series for the last N years from
• Pull down the year by year COT output of the CFTC and stack them by future.
• Blend the screwy names of the CFTC with the Quandl time series instrument names.
• Use some means (I use a proprietary analyzer, ask me about it!) to combine the weekly CFTC with the daily Quandl.
• Perform basic math by week on the CFTC to get the CommShorts – CommLongs.
• Pump the results into JSON (about a 4 meg txt file).
• Build a viewer from Flot.

Financial disclosure: I am not a financial professional. Do not take my advice on any trading idea. This blog is just for fun and entertainment.


Comment if you care

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s