Commitments of Traders (COT) in TradeStation

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About COT Data in TradeStation

Commitments of Traders (COT) data provides a detailed breakdown of the number of Futures contracts held long, short, or spread by commercial, non-commercial, and other speculative traders, and can be used for fundamental analysis of the Futures markets. In TradeStation, fundamental COT data may be referenced by analysis techniques and used within strategies. There are a number of built-in indicators along with EasyLanguage reserved words and functions that provide tools for accessing COT data. COT data is accessed using the same functions and reserved words that access historical fundamental stock data.

Overview
Commitments of Traders (COT) is a historical record of Futures positions open interest for all US Futures markets broken down by type of trader; Commercials, which are producers and consumers of commodities; Non-Commercials are large speculators like hedge funds; and Speculators (nonreportable), which are smaller traders. Starting in 1962, the Commodity Futures Trading Commission (CFTC) started requiring all significant traders meeting certain criteria to report the futures positions they were holding. The CFTC reports this data on their website each week. Due to its infrequency and delay in reporting to the public (only once a week and at least three days into the next week) it is not a real-time data stream, but it can be used to show which groups of traders have a position bias in a market direction, which groups may be driving the market trend, and which groups are increasing or decreasing position size.

Sample TradeStation Indicators for COT

A set of sample indicators are available for your use in the EasyLanguage Documents file named COT.ELD along with a sample workspace named COT.wks. These indicators will be included in a future version on TradeStation by default. Use the File > Import/Export EasyLanguage menu sequence to import COT.ELD into your copy of TradeStation platform. To add COT indicators to a RadarScreen or Chart Analysis window, use the Insert-Indicator menu sequence, then select a name from the list of indicators. With RadarScreen, you can use Insert-Analysis Group menu sequence or Insert Analysis Group tool bar drop-down to apply several COT indicators at once to RadarScreen from pre-defined groups (such as Dividends, EPS & PE, Financials, and others).

COT Net Position The COT Net Position indicator plots the net long/short OpenInterest positions of each group. It is the difference between the long and short positions held by each group. A positive number shows how many more long contracts are held by a particular group than short contracts. Conversely, a negative number shows how many more short contracts are held by a particular group than long contracts. COT Total Position The COT Total Position indicator plots the total Open Interest position for each group. COT Total Position % The COT Total Position % indicator plots the total Open Interest position for each group versus total Open Interest position for all groups as a percentage. This shows which group is holding the largest position relative to the other groups, and how those relationships change over time. Indicator Notes: The indicators provided in COT.ELD use a consistent color scheme when possible: Blue is for Commercials, Green is for Non-Commercials, Red is for Speculators. The user input "FuturesOnly_Or_FuturesAndOptions_1_or_2" determines whether the CFTC's "Futures Only" report is used, or the "Futures and Futures Options" report is used to determine the positions of the groups. By default, the "Futures Only" report is used. Input: 1 = Futures Only (Default) 2 = Futures and Futures Options Plots: Plot1: Commercial traders' net position (BLUE) Plot2: Non-commercial traders' net position (GREEN) Plot3: Speculators' net positions, for speculators not of reportable size (RED) Plot4: Zero line

Custom Plots and COT Data

In addition to using the provided indicators that reference the basic COT data, you can plot any of the dozens of additional COT data fields in a RadarScreen or Chart Analysis window using one of the built-in 'Custom' indicators from the library along with the appropriate reserved word and field input values. This is an easy and flexible way to plot virtually any fundamental COT values (up to 4 at a time). To add a custom indicator to a RadarScreen or Chart Analysis window, use the Insert-Indicator menu sequence, then select either the Custom 1, 2, 3 or 4 Line indicator from the list. While formatting the indicator, select the Inputs tab and change the Formula value to include one of the COT data reserved words (see below) along with the appropriate data name in single quotes (refer to COT Data - Futures Only / Combined Futures & Options for data names and descriptions). For example, use a Formula value of: GetFundData("COTF-12", 0) to display the current COT value for COMMERCIAL POSITIONS-LONG (ALL) for Futures only using a Custom 1 Line indicator.

Writing Your Own COT Analysis Techniques and Strategies

The TradeStation platform allows you to use EasyLanguage to include any combination of fundamental COT data values in analysis techniques or strategies.

Functions
A set of supplied functions are also available for use in your own EasyLanguage statements that can be used to return the COT data value and error status in one call. These functions require that you declare a variable in your EasyLanguage code and understand the use of output parameters. You may choose to look at the EasyLanguage code for each function to develop a better understanding of how to use the underlying reserved words. Note that these functions allow you to access fundamental fields from other data streams, such as 'of Data2'. There is a specific function call for each type of fundamental COT data field including FundValue, FundString, and FundBoolean. The data type may be found under the Type column in each COT Data Field category help topic. You can also get the post and period end dates associated with a data field by using either FundDate or FundPeriodEndDate. The error status from the last 'GetFund' call is returned using the FundErr word. A status of 0 indicates that the last data value was retrieved successfully. For all non-zero status values, compare the returned value with the error code list in the help topic to identify the error type.

Reserved Words
There are a set of reserved words that may be used to retrieve values for fundamental COT data fields and error status for Data1. These words can be used as inputs with Custom 1, 2, 3, and 4 Line indicators to directly display values in charts and grids in addition to using the words in your own EasyLanguage statements. There is a specific reserved word for getting each type of fundamental COT data field including GetFundData, GetFundAsString, and GetFundBoolean. The data type may be found under the Type column in each Fundamental Data Field category help topic. You can also get the post and period end dates associated with a data field by using either GetFundPostDate or GetFundPeriodEndDate. The error status from the last 'GetFund' call is returned using the GetLastFundDataError word. A status of 0 indicates that the last data value was retrieved successfully. For all non-zero status values, compare the returned value with the error code list in the help topic to identify the error type.

COT Data - EasyLanguage Field Names

In EasyLanguage, fundamental COT data fields are provided that correspond to the two CFTC (Commodity Futures Trading Commission) reports for the Futures Only positions and for Combined Futures & Options. Historical values for Futures Only data goes back to 1986 and historical values for Combined Futures & Options data goes back to about 1995. Lists of the COT data fields are organized as they would commonly appear on their respective CFTC reports.

COT Data - Futures Only / Combined Futures & Options

The following table lists the field names and descriptions that are used to read the fundamental COT data from some number of data points ago. The data points back history for a given data field name is based on the reporting period for the current symbol. The Name is used in conjunction with EasyLanguage reserved words to obtain data and status for the named parameter. The Description column provides a brief description of the fundamental COT data that appears in the official CFTC (Commodity Futures Trading Commission) report. The Type column refers to the data type so that you can use one of the following EasyLanguage reserved word to request a value: GetFundData - Reads fundamental data of type Numeric. GetFundDataAsString - Reads fundamental data of type String. GetFundDataAsBoolean - Reads fundamental data of type Boolean. Example: The following example declares variables that are assigned values from the Commercial Long (COTF-12) and Commercial Short (COTF-13) fields respectively and then the difference is plotted to indicate the net commerical position. GetFundData is used, in this case, because the requested fields are numeric, where the second parameter (,0) refers to the current reporting period. If this second parameter were (,2) is would request the values from 2 weekly periods ago. vars: CommLong(0), CommShort(0); CommLong = GetFundData("COTF-12",0); CommShort = GetFundData("COTF-13",0); Plot1(CommLong - CommShort, "Comm");

Name (Futures Only) COTF-1 COTF-4 COTF-5 COTF-6 COTF-7 COTF-8 COTF-9 COTF-10 COTF-11 COTF-12 COTF-13 COTF-14 COTF-15 COTF-16 COTF-17 COTF-18 COTF-19 COTF-20 COTF-21 COTF-22 COTF-23 COTF-24 COTF-25 COTF-26 COTF-27 COTF-28 COTF-29 COTF-30 COTF-31 COTF-32 COTF-33 COTF-34 COTF-35 COTF-36 (Combined Futures & Options) COTC-1 COTC-4 COTC-5 COTC-6 COTC-7 COTC-8 COTC-9 COTC-10 COTC-11 COTC-12 COTC-13 COTC-14 COTC-15 COTC-16 COTC-17 COTC-18 COTC-19 COTC-20 COTC-21 COTC-22 COTC-23 COTC-24 COTC-25 COTC-26 COTC-27 COTC-28 COTC-29 COTC-30 COTC-31 COTC-32 COTC-33 COTC-34 COTC-35 COTC-36

Description Based on the Official COT Report published by the CFTC (Commodity Futures Trading Commission) MARKET AND EXCHANGE NAMES CFTC CONTRACT MARKET CODE CFTC MARKET CODE IN INITIALS CFTC REGION CODE CFTC COMMODITY CODE OPEN INTEREST (ALL) NONCOMMERCIAL POSITIONS-LONG (ALL) NONCOMMERCIAL POSITIONS-SHORT (ALL) NONCOMMERCIAL POSITIONS-SPREADING (ALL) COMMERCIAL POSITIONS-LONG (ALL) COMMERCIAL POSITIONS-SHORT (ALL) TOTAL REPORTABLE POSITIONS-LONG (ALL) TOTAL REPORTABLE POSITIONS-SHORT (ALL) NONREPORTABLE POSITIONS-LONG (ALL) NONREPORTABLE POSITIONS-SHORT (ALL) OPEN INTEREST (OLD) NONCOMMERCIAL POSITIONS-LONG (OLD) NONCOMMERCIAL POSITIONS-SHORT (OLD) NONCOMMERCIAL POSITIONS-SPREADING (OLD) COMMERCIAL POSITIONS-LONG (OLD) COMMERCIAL POSITIONS-SHORT (OLD) TOTAL REPORTABLE POSITIONS-LONG (OLD) TOTAL REPORTABLE POSITIONS-SHORT (OLD) NONREPORTABLE POSITIONS-LONG (OLD) NONREPORTABLE POSITIONS-SHORT (OLD) OPEN INTEREST (OTHER) NONCOMMERCIAL POSITIONS-LONG (OTHER) NONCOMMERCIAL POSITIONS-SHORT (OTHER) NONCOMMERCIAL POSITIONS-SPREADING(OTHER) COMMERCIAL POSITIONS-LONG (OTHER) COMMERCIAL POSITIONS-SHORT (OTHER) TOTAL REPORTABLE POSITIONS-LONG (OTHER) TOTAL REPORTABLE POSITIONS-SHORT (OTHER) NONREPORTABLE POSITIONS-LONG (OTHER)

Type

string numeric string numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric

COTF-37 COTF-38 COTF-39 COTF-40 COTF-41 COTF-42 COTF-43 COTF-44 COTF-45 COTF-46 COTF-47 COTF-48 COTF-49 COTF-50 COTF-51 COTF-52 COTF-53 COTF-54 COTF-55 COTF-56 COTF-57 COTF-58 COTF-59 COTF-60 COTF-61 COTF-62 COTF-63 COTF-64 COTF-65 COTF-66 COTF-67 COTF-68 COTF-69 COTF-70 COTF-71 COTF-72 COTF-73 COTF-74

COTC-37 COTC-38 COTC-39 COTC-40 COTC-41 COTC-42 COTC-43 COTC-44 COTC-45 COTC-46 COTC-47 COTC-48 COTC-49 COTC-50 COTC-51 COTC-52 COTC-53 COTC-54 COTC-55 COTC-56 COTC-57 COTC-58 COTC-59 COTC-60 COTC-61 COTC-62 COTC-63 COTC-64 COTC-65 COTC-66 COTC-67 COTC-68 COTC-69 COTC-70 COTC-71 COTC-72 COTC-73 COTC-74

NONREPORTABLE POSITIONS-SHORT (OTHER) CHANGE IN OPEN INTEREST (ALL) CHANGE IN NONCOMMERCIAL-LONG (ALL) CHANGE IN NONCOMMERCIAL-SHORT (ALL) CHANGE IN NONCOMMERCIAL-SPREADING (ALL) CHANGE IN COMMERCIAL-LONG (ALL) CHANGE IN COMMERCIAL-SHORT (ALL) CHANGE IN TOTAL REPORTABLE-LONG (ALL) CHANGE IN TOTAL REPORTABLE-SHORT (ALL) CHANGE IN NONREPORTABLE-LONG (ALL) CHANGE IN NONREPORTABLE-SHORT (ALL) % OF OPEN INTEREST (OI) (ALL) % OF OI-NONCOMMERCIAL-LONG (ALL) % OF OI-NONCOMMERCIAL-SHORT (ALL) % OF OI-NONCOMMERCIAL-SPREADING (ALL) % OF OI-COMMERCIAL-LONG (ALL) % OF OI-COMMERCIAL-SHORT (ALL) % OF OI-TOTAL REPORTABLE-LONG (ALL) % OF OI-TOTAL REPORTABLE-SHORT (ALL) % OF OI-NONREPORTABLE-LONG (ALL) % OF OI-NONREPORTABLE-SHORT (ALL) % OF OPEN INTEREST (OI) (OLD) % OF OI-NONCOMMERCIAL-LONG (OLD) % OF OI-NONCOMMERCIAL-SHORT (OLD) % OF OI-NONCOMMERCIAL-SPREADING (OLD) % OF OI-COMMERCIAL-LONG (OLD) % OF OI-COMMERCIAL-SHORT (OLD) % OF OI-TOTAL REPORTABLE-LONG (OLD) % OF OI-TOTAL REPORTABLE-SHORT (OLD) % OF OI-NONREPORTABLE-LONG (OLD) % OF OI-NONREPORTABLE-SHORT (OLD) % OF OPEN INTEREST (OI) (OTHER) % OF OI-NONCOMMERCIAL-LONG (OTHER) % OF OI-NONCOMMERCIAL-SHORT (OTHER) % OF OI-NONCOMMERCIAL-SPREADING (OTHER) % OF OI-COMMERCIAL-LONG (OTHER) % OF OI-COMMERCIAL-SHORT (OTHER) % OF OI-TOTAL REPORTABLE-LONG (OTHER)

numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric

COTF-75 COTF-76 COTF-77 COTF-78 COTF-79 COTF-80 COTF-81 COTF-82 COTF-83 COTF-84 COTF-85 COTF-86 COTF-87 COTF-88 COTF-89 COTF-90 COTF-91 COTF-92 COTF-93 COTF-94 COTF-95 COTF-96 COTF-97 COTF-98 COTF-99 COTF-100 COTF-101 COTF-102 COTF-103 COTF-104 COTF-105 COTF-106 COTF-107 COTF-108 COTF-109 COTF-110 COTF-111 COTF-112

COTC-75 COTC-76 COTC-77 COTC-78 COTC-79 COTC-80 COTC-81 COTC-82 COTC-83 COTC-84 COTC-85 COTC-86 COTC-87 COTC-88 COTC-89 COTC-90 COTC-91 COTC-92 COTC-93 COTC-94 COTC-95 COTC-96 COTC-97 COTC-98 COTC-99 COTC-100 COTC-101 COTC-102 COTC-103 COTC-104 COTC-105 COTC-106 COTC-107 COTC-108 COTC-109 COTC-110 COTC-111 COTC-112

% OF OI-TOTAL REPORTABLE-SHORT (OTHER) % OF OI-NONREPORTABLE-LONG (OTHER) % OF OI-NONREPORTABLE-SHORT (OTHER) TRADERS-TOTAL (ALL) TRADERS-NONCOMMERCIAL-LONG (ALL) TRADERS-NONCOMMERCIAL-SHORT (ALL) TRADERS-NONCOMMERCIAL-SPREADING (ALL) TRADERS-COMMERCIAL-LONG (ALL) TRADERS-COMMERCIAL-SHORT (ALL) TRADERS-TOTAL REPORTABLE-LONG (ALL) TRADERS-TOTAL REPORTABLE-SHORT (ALL) TRADERS-TOTAL (OLD) TRADERS-NONCOMMERCIAL-LONG (OLD) TRADERS-NONCOMMERCIAL-SHORT (OLD) TRADERS-NONCOMMERCIAL-SPREADING (OLD) TRADERS-COMMERCIAL-LONG (OLD) TRADERS-COMMERCIAL-SHORT (OLD) TRADERS-TOTAL REPORTABLE-LONG (OLD) TRADERS-TOTAL REPORTABLE-SHORT (OLD) TRADERS-TOTAL (OTHER) TRADERS-NONCOMMERCIAL-LONG (OTHER) TRADERS-NONCOMMERCIAL-SHORT (OTHER) TRADERS-NONCOMMERCIAL-SPREADING (OTHER) TRADERS-COMMERCIAL-LONG (OTHER) TRADERS-COMMERCIAL-SHORT (OTHER) TRADERS-TOTAL REPORTABLE-LONG (OTHER) TRADERS-TOTAL REPORTABLE-SHORT (OTHER) CONCENTRATION-GROSS LT = 4 TDR-LONG (ALL) CONCENTRATION-GROSS LT ="4" TDR-SHORT (ALL) CONCENTRATION-GROSS LT ="8" TDR-LONG (ALL) CONCENTRATION-GROSS LT ="8" TDR-SHORT (ALL) CONCENTRATION-NET LT ="4" TDR-LONG (ALL) CONCENTRATION-NET LT ="4" TDR-SHORT (ALL) CONCENTRATION-NET LT ="8" TDR-LONG (ALL) CONCENTRATION-NET LT ="8" TDR-SHORT (ALL) CONCENTRATION-GROSS LT ="4" TDR-LONG (OLD) CONCENTRATION-GROSS LT ="4" TDR-SHORT (OLD) CONCENTRATION-GROSS LT ="8" TDR-LONG (OLD)

numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric

COTF-113 COTF-114 COTF-115 COTF-116 COTF-117 COTF-118 COTF-119 COTF-120 COTF-121 COTF-122 COTF-123 COTF-124 COTF-125 COTF-126 COTF-127 COTF-128 COTF-129

COTC-113 COTC-114 COTC-115 COTC-116 COTC-117 COTC-118 COTC-119 COTC-120 COTC-121 COTC-122 COTC-123 COTC-124 COTC-125 COTC-126 COTC-127 COTC-128 COTC-129

CONCENTRATION-GROSS LT ="8" TDR-SHORT (OLD) CONCENTRATION-NET LT ="4" TDR-LONG (OLD) CONCENTRATION-NET LT ="4" TDR-SHORT (OLD) CONCENTRATION-NET LT ="8" TDR-LONG (OLD) CONCENTRATION-NET LT ="8" TDR-SHORT (OLD) CONCENTRATION-GROSS LT ="4" TDR-LONG (OTHER) CONCENTRATION-GROSS LT ="4" TDR-SHORT(OTHER) CONCENTRATION-GROSS LT ="8" TDR-LONG (OTHER) CONCENTRATION-GROSS LT ="8" TDR-SHORT(OTHER) CONCENTRATION-NET LT ="4" TDR-LONG (OTHER) CONCENTRATION-NET LT ="4" TDR-SHORT (OTHER) CONCENTRATION-NET LT ="8" TDR-LONG (OTHER) CONCENTRATION-NET LT ="8" TDR-SHORT (OTHER) CONTRACT UNITS CFTC CONTRACT MARKET CODE (QUOTES) CFTC MARKET CODE IN INITIALS (QUOTES) CFTC COMMODITY CODE (QUOTES)

numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric numeric