Thread: COT Indicator with Self-Installer

Hey guys,
Here is a COT Indicator that grabs data from the web. Just set the data type, 0-Comm, 1-NonComm, 2-NonReportable, and everything is done automatically. Might be slow due to your network connection speed.

Important: Put the Ionic.Zip.dll into C:\Program Files\FXCM\FXCM Strategy Trader. This dll is required for unzipping data.

Code:

using System;
using System.Drawing;
using Broker.StrategyLanguage.Function.BuiltIn;
using Fx2GoCommon;
using System.Windows.Forms;
using System.Collections.Generic;
using System.Net;
using System.IO;
using System.IO.Compression;
using System.Data;
using Ionic.Zip;

namespace Broker.StrategyLanguage.Indicator{
	public class COT_Indicator : BaseIndicator {
		public COT_Indicator(object _ctx):base(_ctx){}
		
		private List<string> m_YearsList;
		private Dictionary<string, int> m_HeaderIndex;
		private DataTable dt;
		private List<string> m_MarketAndExchangeNames;
		private Dictionary<string, string> m_SymbolCOT;
		private DataRow[] m_SelectedRows;
		
		private IPlot plot0;
		private IPlot plot1;
		private IPlot plot2;
		private IPlot plot3;
		private IPlot plot4;
		private IPlot plot5;
		private IPlot plot6;
		private IPlot plot7;
		
		private string m_DataTypeDesc = "0=Comm, 1=NonComm, and 2=NonReport";
		[Input]
		public string DataTypeDesc
		{
			get{return m_DataTypeDesc;}
			set{m_DataTypeDesc=value;}
		}
		
		private int m_DataType = 0;
		[Input]
		public int DataType
		{
			get{return m_DataType;}
			set{m_DataType=value;}
		}
		
		private bool m_ShowHistogram = false;
		[Input]
		public bool ShowHistogram
		{
			get{return m_ShowHistogram;}
			set{m_ShowHistogram=value;}
		}

		protected override void Construct() {
			m_HeaderIndex = new Dictionary<string, int>();
			m_MarketAndExchangeNames = new List<string>();
			m_YearsList = new List<string>();
			m_SymbolCOT = new Dictionary<string, string>();
			
			plot0 = AddPlot(new PlotInfo("Net Position", PlotType.Line, Color.Yellow));
			plot1 = AddPlot(new PlotInfo("Open Interest All", PlotType.Line, Color.Red));
			plot2 = AddPlot(new PlotInfo("Comm Positions Long All", PlotType.Histogram, Color.Red));
			plot3 = AddPlot(new PlotInfo("Comm Positions Short All", PlotType.Histogram, Color.LightGreen));
			plot4 = AddPlot(new PlotInfo("Non Comm Positions Long All", PlotType.Histogram, Color.Red));
			plot5 = AddPlot(new PlotInfo("Non Comm Positions Short All", PlotType.Histogram, Color.LightGreen));
			plot6 = AddPlot(new PlotInfo("Nonreportable Positions-Long (All)", PlotType.Histogram, Color.Red));
			plot7 = AddPlot(new PlotInfo("Nonreportable Positions-Short (All)", PlotType.Histogram, Color.LightGreen));
		}
		protected override void Initialize() {
			CreateCOTDictionary();
			int startYear = Bars.TimeValue.Year;
			int endYear = Bars.LastBarTime.Year;
			string Years = string.Format("{0}-{1}", startYear, endYear);
			//parse years
			m_YearsList.Clear();
			string[] years = Years.Split(new char[]{','}, StringSplitOptions.RemoveEmptyEntries);
			foreach(string s in years)
			{
				if(s.Contains("-"))
				{
					string[] ss = s.Split(new char[]{'-'}, StringSplitOptions.RemoveEmptyEntries);
					if(ss.Length == 2)
					{
						int start = int.Parse(ss[0].Trim());
						int end = int.Parse(ss[1].Trim());
						for(int i=start;i<=end;i++)
						{
							m_YearsList.Add(i.ToString("D4"));
						}
					}
				}
				else
				{
					m_YearsList.Add(s.Trim());
				}
			}
			GetFile(m_YearsList);
			//MarketSelectorForm selector = new MarketSelectorForm();
			//selector.SetDataSource(m_MarketAndExchangeNames);
			//DialogResult result = selector.ShowDialog();
			//if(result == DialogResult.OK)
			//{
			//	RunApp = true;
			//	string filterExpression = string.Format("MarketAndExchangeNames='{0}'", selector.MarketAndExchangeName);
			//	m_Commercial = selector.Commercial.Equals("Commercial", StringComparison.InvariantCultureIgnoreCase);
			//	m_SelectedRows = dt.Select(filterExpression, "ReportDate ASC");
			//}
			//else
			//{
			//	RunApp = false;
			//}
			//selector.Dispose();
			
			string MarketAndExchangeName = string.Empty;
			foreach(KeyValuePair<string, string> kvp in m_SymbolCOT)
			{
				if(kvp.Key.Equals(Bars.Info.Name, StringComparison.InvariantCultureIgnoreCase))
				{
					MarketAndExchangeName = kvp.Value;
					break;
				}
			}
			string filterExpression = string.Format("MarketAndExchangeNames='{0}'", MarketAndExchangeName);
			//m_Commercial = selector.Commercial.Equals("Commercial", StringComparison.InvariantCultureIgnoreCase);
			m_SelectedRows = dt.Select(filterExpression, "ReportDate ASC");
		}
		protected override void Execute(){
			for(int i=0;i<m_SelectedRows.Length;i++)
			{
				DateTime dt1;
				DateTime dt2;
				DataRow dr = m_SelectedRows[i];
				if(i < m_SelectedRows.Length - 1)
				{
					DataRow nextdr = m_SelectedRows[i+1];
					dt1 = (DateTime)dr["ReportDate"];
					dt2 = (DateTime)nextdr["ReportDate"];
				}
				else
				{
					dt1 = (DateTime)dr["ReportDate"];
					dt2 = DateTime.MaxValue;
				}
				
				if(Bars.TimeValue >= dt1 && Bars.TimeValue < dt2)
				{
					int OpenInterestAll = (int)dr["OpenInterestAll"];
					plot1.Set((double)OpenInterestAll);
					if(DataType == 0)
					{
						int CommPositionsLongAll = (int)dr["CommPositionsLongAll"];
						int CommPositionsShortAll = (-1)*(int)dr["CommPositionsShortAll"];
						if(ShowHistogram)
						{
							plot2.Set((double)CommPositionsLongAll, Color.Red, 5);
							plot3.Set((double)CommPositionsShortAll, Color.Green, 5);
						}
						plot0.Set((double)(CommPositionsLongAll + CommPositionsShortAll));
					}
					else if(DataType == 1)
					{
						int NonCommPositionsLongAll = (int)dr["NonCommPositionsLongAll"];
						int NonCommPositionsShortAll = (-1)*(int)dr["NonCommPositionsShortAll"];
						if(ShowHistogram)
						{
							plot4.Set((double)NonCommPositionsLongAll, Color.Red, 5);
							plot5.Set((double)NonCommPositionsShortAll, Color.Green, 5);
						}
						plot0.Set((double)(NonCommPositionsLongAll + NonCommPositionsShortAll));
					}
					else if(DataType == 2)
					{
						int NonreportablePositionsLongAll = (int)dr["NonreportablePositionsLongAll"];
						int NonreportablePositionsShortAll = (-1)*(int)dr["NonreportablePositionsShortAll"];
						if(ShowHistogram)
						{
							plot6.Set((double)NonreportablePositionsLongAll, Color.Red, 5);
							plot7.Set((double)NonreportablePositionsShortAll, Color.Green, 5);
						}
						plot0.Set((double)(NonreportablePositionsLongAll + NonreportablePositionsShortAll));
					}
				}
			}
		}
		
		protected void GetFile(List<string> years)
		{
			//Create a data table
			dt = new DataTable();
			dt.Columns.Add("MarketAndExchangeNames", typeof(string));
			dt.Columns.Add("ReportDate", typeof(DateTime));
			dt.Columns.Add("OpenInterestAll", typeof(int));
			dt.Columns.Add("NonCommPositionsLongAll", typeof(int));
			dt.Columns.Add("NonCommPositionsShortAll", typeof(int));
			dt.Columns.Add("CommPositionsLongAll", typeof(int));
			dt.Columns.Add("CommPositionsShortAll", typeof(int));
			dt.Columns.Add("NonreportablePositionsLongAll", typeof(int));
			dt.Columns.Add("NonreportablePositionsShortAll", typeof(int));

			//Unzip
			foreach(string year in years)
			{
				string URL =  string.Format("http://cftc.gov/MarketReports/files/dea/history/deacot{0}.zip", year);
				WebClient client = new WebClient();
				Stream stream = client.OpenRead(URL);
				MemoryStream cacheStream = new MemoryStream();
				int bytes;
				byte[] buff = new byte[1024];
				do{
					bytes = stream.Read(buff, 0, buff.Length);
					if(bytes>0)
					{
						cacheStream.Write(buff, 0, bytes);
					}
				}
				while(bytes>0);
				cacheStream.Position = 0;
				ZipInputStream instream = new ZipInputStream(cacheStream);
				ZipEntry entry = instream.GetNextEntry();
				if(entry.FileName.Equals("annual.txt", StringComparison.InvariantCultureIgnoreCase))
				{
					MemoryStream outstream = new MemoryStream();
					do{
						bytes = instream.Read(buff, 0, buff.Length);
						if (bytes > 0)
						{
							outstream.Write(buff, 0, bytes);
						}
					}
					while(bytes>0);
					outstream.Position = 0;
					//begin to read file
					StreamReader reader = new StreamReader(outstream);
					string header = reader.ReadLine();
					string[] headerName = header.Split(new char[]{','});		//Get header row column names
					m_HeaderIndex.Clear();
					for(int i=0; i<headerName.Length; i++)
					{
						m_HeaderIndex.Add(headerName[i].Trim(new char[]{'\"'}), i);
					}
					
					while(!reader.EndOfStream)
					{
						string str = reader.ReadLine();			//Go through each data line
						string[] rawStrings = str.Split(new char[]{','});
						string[] values = new string[m_HeaderIndex.Count];
						int j=0;
						for(int i=0;i<rawStrings.Length;i++)
						{
							string value = string.Empty;
							if(rawStrings[i].Trim().StartsWith("\""))
							{
								do{
									value += rawStrings[i];
									i++;
								}
								while(!rawStrings[i-1].Trim().EndsWith("\""));
								i--;
							}
							else
							{
								value = rawStrings[i];
							}
							value = value.Trim(new char[]{' ', '\"'});
							values[j++] = value;
						}
						DataRow row = dt.NewRow();
						row["MarketAndExchangeNames"] = values[m_HeaderIndex["Market and Exchange Names"]];
						row["ReportDate"] = DateTime.Parse(values[m_HeaderIndex["As of Date in Form YYYY-MM-DD"]]);
						row["OpenInterestAll"] = int.Parse(values[m_HeaderIndex["Open Interest (All)"]]);
						row["NonCommPositionsLongAll"] = int.Parse(values[m_HeaderIndex["Noncommercial Positions-Long (All)"]]);
						row["NonCommPositionsShortAll"] = int.Parse(values[m_HeaderIndex["Noncommercial Positions-Short (All)"]]);
						row["CommPositionsLongAll"] = int.Parse(values[m_HeaderIndex["Commercial Positions-Long (All)"]]);
						row["CommPositionsShortAll"] = int.Parse(values[m_HeaderIndex["Commercial Positions-Short (All)"]]);
						row["NonreportablePositionsLongAll"] = int.Parse(values[m_HeaderIndex["Nonreportable Positions-Long (All)"]]);
						row["NonreportablePositionsShortAll"] = int.Parse(values[m_HeaderIndex["Nonreportable Positions-Short (All)"]]);
						dt.Rows.Add(row);
					}
					reader.Close();					
				}
			}
			//m_MarketAndExchangeNames.Clear();
			//foreach(DataRow dr in dt.Rows)
			//{
			//	string name = dr["MarketAndExchangeNames"].ToString();
			//	if(!m_MarketAndExchangeNames.Contains(name))
			//		m_MarketAndExchangeNames.Add(name);
			//}
		}
		
		private void CreateCOTDictionary()
		{
			m_SymbolCOT.Clear();
			m_SymbolCOT.Add("EURUSD", "EURO FX - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("USDJPY", "JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("GBPUSD", "BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("USDCHF", "SWISS FRANC - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("AUDUSD", "AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("USDCAD", "CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("NZDUSD", "NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("USDMXN", "MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("NAS100", "NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("SPX500", "E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("US30", "DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE");
			m_SymbolCOT.Add("USOil", "CRUDE OIL LIGHT SWEET - NEW YORK MERCANTILE EXCHANGE");
			m_SymbolCOT.Add("XAUUSD", "GOLD - COMMODITY EXCHANGE INC.");
			m_SymbolCOT.Add("XAGUSD", "SILVER - COMMODITY EXCHANGE INC.");
			m_SymbolCOT.Add("JPN225", "NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE");
		}
	}
}

How do I load this in my chart? I dont see it in my indicator dropdown list?

Below download a self-installing version of the Commitment of Traders Indicator for Strategy Trader.

Download the COTIndicator.zip file, unzip. Run the attached .exe file. Open Strategy Trader and the Strategy Trader editor. When prompted by the Editor, hit "okay" to import the "COTIndicator.fxd" file.

Once it has compiled correctly, open the "COTIndicator.fxw" file found in the default "MyWork" directory. If you installed Strategy Trader in the default location, this would be C:\Program Files\FXCM\Strategy Trader\MyWork .

Report any issues and feedback on this forum and thanks in advance.

that's good, tnx

Please note: As of the current version, all COT data is printed with the futures contract in mind. That is to say, Non Commercial and Commercial positioning on pairs such as the USDJPY and USDCHF are actually on JPYUSD and CHFUSD futures. I will post a fix as soon as I can.

Thank i find it very usefull

Originally Posted by David Rodriguez

Please note: As of the current version, all COT data is printed with the futures contract in mind. That is to say, Non Commercial and Commercial positioning on pairs such as the USDJPY and USDCHF are actually on JPYUSD and CHFUSD futures. I will post a fix as soon as I can.

Hi David,

Is Forex a part of Future Market ? If so, would you like to give us an example of non-future market ?

Thanks in advance,

why don't we joint both post?

http://forexforums.dailyfx.com/free-...indicator.html (COT Indicator)

Is there any obligation for great speculators situated in Tax Haven(Fiscal Paradise) to communicate their positioning to US regulator(CFTC) once a week ?

If no, does this make COT less significant ?

Hi Frederic,
To answer your question, yes. This indicator logs any traders that have position on US Futures exchanges.

Best,
James Davis

Originally Posted by jdavis

Hi Frederic,
To answer your question, yes. This indicator logs any traders that have position on US Futures exchanges.

Best,
James Davis

Hi James,

First thank you for your answer.

I've asked 2 questions. Your answer is for the first one or the second ?

These are my questions:

1. Is there any obligation for great speculators situated in Tax Haven(Fiscal Paradise) to communicate their positioning to US regulator(CFTC) once a week ?
   
2. If no, does this make COT less significant ?

Thanks,

Fred,

This is what one can read on the CFTC web site:

"The Commitments of Traders (COT) reports provide a breakdown of each Tuesday’s open interest for markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC."

My question is the following:

What about SSI ? Are the levels of positions considered the same? I mean: If we have 10 short positions with 10 lots each, and 1 long position of 100 lots; is SSI equal to -10 ? Notice that here: Short + Long = 0; so -10 should not be appropriate.

Thanks,

Nice indicator, I am wondering,when is the best time to download the COT file?

I'm guessing Tuesday, at what time?

I have also read the put/call ratios on FX futures are more timely. Is there a way to get that info through ST?

Originally Posted by Omar.S

Hi David,

Is Forex a part of Future Market ? If so, would you like to give us an example of non-future market ?

Thanks in advance,

The trading we do here at FXCM is the spot or cash market and not the futures market. They are two separate markets.

Originally Posted by Frederic

Is there any obligation for great speculators situated in Tax Haven(Fiscal Paradise) to communicate their positioning to US regulator(CFTC) once a week ?

If no, does this make COT less significant ?

Traders do not report to the CFTC. The firm they trade through reports positions to the CFTC on a daily basis.