COT Data by cendalc
Legacy and disaggregated COT data for several commodities I trade:
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG
Available indexes:
Data is taken from Quandl: www.quandl.com/data/CFTC
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG
Available indexes:
- Open Interest
- Commercials Net
- Large Traders Net
- Producers Net
- Managed Money Net
- Commercials Long
- Large Traders Long
- Producers Long
- Managed Money Long
- Commercials Short
- Large Traders Short
- Producers Short
- Managed Money Short
Data is taken from Quandl: www.quandl.com/data/CFTC
//@version=2
study("COT Data by cendalc", shorttitle="COT Data", precision=0)
qticker =
syminfo.root == "ZC" ? "C" :
syminfo.root == "ZW" ? "W" :
syminfo.root == "ZS" ? "S" :
syminfo.root == "ZL" ? "BO" :
syminfo.root == "ZM" ? "SM" :
syminfo.root == "HG" ? "HG" :
syminfo.root == "GC" ? "GC" :
syminfo.root == "SI" ? "SI" :
syminfo.root == "CC" ? "CC" :
syminfo.root == "KC" ? "KC" :
syminfo.root == "CT" ? "CT" :
syminfo.root == "OJ" ? "OJ" :
syminfo.root == "SB" ? "SB" :
syminfo.root == "CL" ? "CL" :
syminfo.root == "HO" ? "HO" :
syminfo.root == "NG" ? "NG" :
""
legacy_cot = "QUANDL:CFTC/" + qticker + "_FO_L_ALL|"
oi = security(legacy_cot + "0", "W", close)
comm_lg = security(legacy_cot + "4", "W", close)
comm_sh = security(legacy_cot + "5", "W", close)
comm_net = comm_lg - comm_sh
large_lg = security(legacy_cot + "1", "W", close)
large_sh = security(legacy_cot + "2", "W", close)
large_net = large_lg - large_sh
other_lg = security(legacy_cot + "8", "W", close)
other_sh = security(legacy_cot + "9", "W", close)
other_net = other_lg - other_sh
cot = "QUANDL:CFTC/" + qticker + "_FO_ALL|"
prod_lg = security(cot + "1", "W", close)
prod_sh = security(cot + "2", "W", close)
prod_net = prod_lg - prod_sh
manag_lg = security(cot + "6", "W", close)
manag_sh = security(cot + "7", "W", close)
manag_net = manag_lg - manag_sh
plot(oi, color=black, title="Open Interest", style=line, linewidth=1)
plot(comm_net, color=blue, title="Commercials Net", style=line, linewidth=1)
plot(large_net, color=green, title="Large Traders Net", style=line, linewidth=2)
plot(prod_net, color=aqua, title="Producers Net", style=line, linewidth=1)
plot(manag_net, color=lime, title="Managed Money Net", style=line, linewidth=2)
plot(comm_lg, color=navy, title="Commercials Long", style=line, linewidth=1)
plot(large_lg, color=red, title="Large Traders Long", style=line, linewidth=1)
plot(prod_lg, color=gray, title="Producers Long", style=line, linewidth=1)
plot(manag_lg, color=purple, title="Managed Money Long", style=line, linewidth=1)
plot(comm_sh, color=teal, title="Commercials Short", style=line, linewidth=1)
plot(large_sh, color=orange, title="Large Traders Short", style=line, linewidth=1)
plot(prod_sh, color=silver, title="Producers Short", style=line, linewidth=1)
plot(manag_sh, color=fuchsia, title="Managed Money Short", style=line, linewidth=1)