The COT Report updates point to the following links:
How these Commitment of Traders reports are created:
• Pull down the CBOT continuous contract futures time series for the last N years from Quandl.com
• 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.