COT Data - FREE historical provider for Commitment Of Traders data
Author: Eugene
Creation Date: 9/1/2011 4:25 AM
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Eugene

#1
This new static provider downloads free Weekly, futures-only historical COT (commitment of traders) data in legacy format.

Currently, included are 47 symbols for the following market groups: Indices, Metals, Currencies, Financial, Grain, Meat, Food/Fiber and Petroleum.

Visit the project's home page in the Wealth-Lab Wiki for the complete list of symbols and usage guidelines:

Free COT (commitment of traders) data provider

Install the Extension from our site:

Direct link
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richard1000

#2
I have no idea about the usefulness of COT data. Are there any trading systems that use COT data? Also how do I access the Open Interest (Small Traders Short) field?
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Eugene

#3
There exist a couple of such trading systems, if you scan the Strategies section:

ActiveTrader 2008-04 | Adaptive COT Index
Futures and Options Trader 2008-02 | COT extreme-position system

As they were published quite long ago and were using a different COT data vendor, their usefulness will depend on adjusting the code to work with this COT provider's "calling convention".

Accessing the Open Interest field is the job of Bars.NamedSeries (QuickRef and forum search for more details). A number of related live bugs in 6.2 can make its application a bit difficult in some cases.
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richard1000

#4
Request of additional symbols for COT Data Provider:

VX VIX FUTURES - CBOE FUTURES EXCHANGE

RM RUSSEL 2000 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE

RR RUSSEL 2000 STOCK INDEX FUTURE - CHICAGO MERCANTILE EXCHANGE
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Eugene

#5
Done. Please update the provider using the Extension Manager. After restarting WLP, you will need to re-create the Free COT DataSet for the new symbols to appear, and to update this DataSet.

Summary of changes (version 2013.01):

* New: added more symbols (requested by richard1000)
* Change: requires Wealth-Lab 6.4 and .NET 4.0+ framework
* Change: (internal) slight refactoring, fixes
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ecorderob

#6
Hi Eugene,

It has been already 1 month since this extension do not get fresh data from COT. Is there any problem with it?

---------------

Hi, I answer myself :)

They have not published data since then.

Sorry for bothering.

-Enrique
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Eugene

#7
Enrique,

Check it yourself by downloading the source data file the provider is using: Download Historical Zip File

Now open it in Windows Explorer (or your favorite file archiver) and notice the Modified date of files. It's 09/28/2013; same story with other data files. Consider asking the COT website's owner.
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Eugene

#8
FYI

The COT data has been updated. It's actual as of March 7.
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Eugene

#9
FYI

More advanced CoT data in both legacy and new formats, including Open Interest, is downloadable using new Quandl provider suite:

Quandl static provider + Zacks fundamental provider