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I need help using COT data in MT4

  • #21
  • Feb 11, 2013 5:03am Feb 11, 2013 5:03am
Hanover,

Thank you very much for what you have done. It's really fantastic.

May I ask your advice on something really inane? You said, "If you want to span multiple years, then you'll have to download multiple files, and join them yourself using a text editor." - I feel embarrassed asking this, but how would I go about such an endeavour? I have Microsoft Excel, but other than copy/pasting everything to the beginning or end of the previous year's file, I wouldn't have a clue how to go about joining them in the correct manner. If it's too much trouble for you to explain it directly then could you point me to a webpage which will? Sorry and thank you at the same time!

Regards,

Ian
  • #22
  • Edited 6:21am Feb 11, 2013 5:58am | Edited 6:21am
Quoting Ian K
Hanover,

Thank you very much for what you have done. It's really fantastic.

May I ask your advice on something really inane? You said, "If you want to span multiple years, then you'll have to download multiple files, and join them yourself using a text editor." - I feel embarrassed asking this, but how would I go about such an endeavour? I have Microsoft Excel, but other than copy/pasting everything to the beginning or end of the previous year's file, I wouldn't have a clue how to go about joining them in the correct manner. If it's too much...
Ian,

Alas, this is something that a programmer can do in two seconds, but it probably takes something like two hours to explain how.

Anyway, I'll try to simplify the process for you.......

1. Unzip the content of the attached file (join.zip) into your ...../experts/files folder.

2. Go to the COT webpage (see my earlier post #14). Download the 2012 COT file as 'annual.txt' into your ...../experts/files folder, then rename the file to 'annual1.txt'

3. From the same webpage, download the 2013 COT file as 'annual.txt' into your ...../experts/files folder, then rename the file to 'annual2.txt'
(This assumes that you want to join the 2012 and 2013 COT data into one file)

4. Follow the attached images: Click
Start.... Run..... Browse..... (navigate to your ...../experts/files folder) ...... join.bat ....... Open........ OK........

If your Windows version operates the same as my Win XP, a black window should appear briefly. When it disappears, the join.bat program should have joined the files annual1.txt and annual2.txt into a single file named annual.txt

5. Now, having created the annual.txt file, proceed as explained in my earlier post, i.e. post #14, from step 4.

If you're running anything other than Win XP, and it doesn't work as I explained, then I'm afraid I can't help you. Also, if you're running Vista or Win7, there may be file permission issues. Again, other than pointing you to this link, I can not help you. Win XP is the only version of Windows that I understand. Win7 has caused me nothing but headaches, and I wish it would go away....... forever.

Also, please note: I don't use the COT. It doesn't make any sense to me, as to how it can be used to as part of a profitable trading strategy. I simply coded this because Orion asked for it. Hence, if you can't get the file join to work, maybe somebody else can help you.

David
Attached Image (click to enlarge)
Click to Enlarge Name: 2013-02-12_0043.png Size: 81 KB
Attached Image
Attached File(s)
File Type: zip join.zip   < 1 KB | 491 downloads
  • #23
  • Feb 11, 2013 6:15am Feb 11, 2013 6:15am
Just to illustrate that I got the join (in post #22) to work correctly in Win XP — see the attached image.
Attached Image (click to enlarge)
Click to Enlarge Name: 2013-02-12_0117.jpg Size: 84 KB
  • #24
  • Feb 11, 2013 12:11pm Feb 11, 2013 12:11pm
Hanover,

As I'm sure you're only too aware already, you're a star!

My main computer is a laptop which runs Vista and unfortunately your instructions did not work on that machine. It got as far as the black command prompt screen, but it didn't create a combined file called 'Annual'. Not to worry, I also have a 13 year old desktop which runs XP and it DID work there with no problems encountered. So again, thank you so much for your generosity. Please don't take these as empty words. You are a stranger to me and I to you, yet you took time out of your day to systematically guide me to a solution to a problem. If I wore a hat then it would be off to you sir!

Regarding the actual use of the COT report data, much like everything else in the world of trading, it can be interpreted several different ways. The definitive guide as far as I'm concerned is the cheesily titled Trade Stocks and Commodities with the Insiders: Secrets of the COT Report, by Larry Williams.

Due to the strong correlation between currency futures and spot forex we can use the definitive data provided by the CFTC to understand where the actual big players are situated in the market. The basic rule of thumb is that the commercials (the actual hedgers who are not using the markets to speculate, but who want actual physical delivery of the commodity) are the guys in the know and should be the ones to follow. If their buying is at an extreme (what constitutes an extreme is obviously subjective and dependent on the time frame being analysed) then in terms of charts, we should expect the market to bottom 'soon' and begin an up climb, i.e. if the market is short and the commercials are long then get ready to liquidate any sells and go long. The non-commercials and non-reportables are the big and small traders respectively and can be viewed in terms of contrarian indicators, i.e. if they are extremely long then get ready to go short.

Larry Williams' own words:

"LESSON ONE IN USING THE COMMERCIAL DATA
Multiyear highs in net buying beget bull markets. Multiyear lows
in net selling beget bear markets.
That’s about as simple as it gets."

There's a lot more to it than this, but it is a very interesting field of study. One caveat: it's best served for knowing medium to long term sentiment rather than for trading intraday.

Anyway, thank you once more for your wonderful generosity.

Best regards.
  • #25
  • Edited 1:08pm Feb 11, 2013 12:47pm | Edited 1:08pm
Quoting Ian K
Hanover,

As I'm sure you're only too aware already, you're a star!

My main computer is a laptop which runs Vista and unfortunately your instructions did not work on that machine. It got as far as the black command prompt screen, but it didn't create a combined file called 'Annual'. Not to worry, I also have a 13 year old desktop which runs XP and it DID work there with no problems encountered. So again, thank you so much for your generosity. Please don't take these as empty words. You are a stranger to me and I to you, yet you took time out of...
Ian,

Many thanks for the info on COT, and your kind comments.

You might be able to get the join.bat to run on Vista by re-installing MT4 in a folder that's not located under the Program Files folder (if you haven't already done so). I don't fully understand Microsoft's restrictions in preventing users from creating files in folders underneath Program Files (you buy your computer, but Microsoft owns it), but the link in the 2nd last paragraph of post #22 may help you.

Good luck,
David
  • #26
  • Mar 28, 2013 6:49am Mar 28, 2013 6:49am
Excellent indicator. I got a problem and not able to merge 2 readings into the same indicator window.

CO Item Type : 61
CO Column No : 13
DateColumnNo : 3

I need to add another CO Column No : 12 into the same window but not able to achieve.

Any idea ? Thanks
  • #27
  • Edited 4:43pm Mar 28, 2013 4:31pm | Edited 4:43pm
Quoting davidku
Excellent indicator. I got a problem and not able to merge 2 readings into the same indicator window.

CO Item Type : 61
CO Column No : 13
DateColumnNo : 3

I need to add another CO Column No : 12 into the same window but not able to achieve.

Any idea ? Thanks
Follow the instructions in post #14, point 4. Make sure that you specify a different FileName each time you attach the indy.

The indy works correctly on my computer. If it doesn't work on your computer, then I'm sorry, I don't know how to help you. Your computer configuration must be somehow different to mine, but I have no way of knowing how. I am running Windows XP Pro SP2 and Pepperstone MT4 build 427.
  • #28
  • Edited Mar 29, 2013 1:45pm Mar 28, 2013 6:35pm | Edited Mar 29, 2013 1:45pm
Attached is version 2 of the indy. I have attempted to make it more automated and user-friendly. This supersedes everything that I've posted earlier in the thread.


How to install and run the indy:

1. Download the attached Plot COT Futures data.ex4 indicator to your ..../experts/indicators folder.

If you want the source code, copy the .mq4 file there also, but you must also copy the two .mqh files into your ..../experts/include folder, for the .mq4 to compile correctly.

2. Download both of the attached .csv files into your ..../experts/files folder.

3. The indy expects to find a file named annual.txt in your ..../experts/files folder. You must download it from this webpage, as shown in the image attached below. Every week, new data will have been added, hence you'll need to download a new version of the file. If you want to span multiple years, then you'll have to download multiple files; see the notes for the JoinFiles parameter below.

4. Attach the Plot COT Futures data indy to any H4, D1 or W1 chart. You can have multiple plots on the same chart by attaching the indy multiple times:
--- If you want the data to plot in a new sub-window, drag it to the main chart; or
--- If you want it to plot in the same sub-window as a previous plot, then drag it into the desired sub-window.


The parameters work as follows:

JoinFiles —
If you simply want to plot the current year's data (from the file annual.txt that you downloaded in step 3), then leave this field blank.

If you want to join data from multiple years, then the indy will now do this for you. But first, you must download each yearly file from the webpage, and rename it to something unique. For example, if you want to join data for 2011, 2012, and 2013, then you would download those files, and rename them from annual.txt to (e.g.) 2011data.txt, 2012data.txt and 2013data.txt respectively, in your ..../experts/files folder.

Then you'd type the filenames, separated by commas, i.e.
2011data.txt,2012data.txt,2013data.txt
into the JoinFiles parameter. Then the indy, when it's attached, will automatically join these 3 files into a file named annual.txt, at the start of its processing.

Note that you only need to type the file names into JoinFiles the first time you attach the indy after you've downloaded (or updated) the data. In other words, once the annual.txt file has been built from the component files, there's no need to rebuild it every time you attach the indy, until or unless the data in any of the downloaded component files has been changed. If there's no need to do the join/rebuild, simply leave JoinFiles blank.


COTItemType — choose a numeric value from this selection, depending on the COT item you want plotted:
Inserted Code
1  =  1% FUEL OIL NWE CRACK SPR - NEW YORK MERCANTILE EXCHANGE
2  =  10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE
3  =  2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE
4  =  3.5% FUEL OIL RDAM CRACK SPR - NEW YORK MERCANTILE EXCHANGE
5  =  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE
6  =  3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE
7  =  5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE
8  =  AECO FIN BASIS - ICE FUTURES ENERGY DIV
9  =  AECO FIN BASIS - ICE OTC
10  =  AEP DAYTON CAL MONTH LMP SWAP - NEW YORK MERCANTILE EXCHANGE
11  =  AEP DAYTON OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE
12  =  AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE
13  =  BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE
14  =  BRENT (ICE) CALENDAR SWAP - NEW YORK MERCANTILE EXCHANGE
15  =  BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE EXCHANGE
16  =  BRENT FINANCIAL - NEW YORK MERCANTILE EXCHANGE
17  =  BRENT-DUBAI SWAP - NEW YORK MERCANTILE EXCHANGE
18  =  BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE
19  =  BUTTER (CASH SETTLED) - CHICAGO MERCANTILE EXCHANGE
20  =  CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE
21  =  CANADIAN HVY CRUDE NET ENRGY - NEW YORK MERCANTILE EXCHANGE
22  =  CBT ETHANOL - CHICAGO BOARD OF TRADE
23  =  CENTRAL APPALACHIAN COAL - NEW YORK MERCANTILE EXCHANGE
24  =  CHEESE (CASH-SETTLED) - CHICAGO MERCANTILE EXCHANGE
25  =  CHICAGO ETHANOL SWAP - NEW YORK MERCANTILE EXCHANGE
26  =  CHICAGO FIN BASIS - ICE FUTURES ENERGY DIV
27  =  CHICAGO FIN BASIS - ICE OTC
28  =  COAL (API 2) CIF ARA SWAP FUT - NEW YORK MERCANTILE EXCHANGE
29  =  COAL (API 4) FOB  RICH BAY FUT - NEW YORK MERCANTILE EXCHANGE
30  =  COCOA - ICE FUTURES U.S.
31  =  COFFEE C - ICE FUTURES U.S.
32  =  CONWAY PROPANE (OPIS) SWAP - NEW YORK MERCANTILE EXCHANGE
33  =  COPPER-GRADE #1 - COMMODITY EXCHANGE INC.
34  =  CORN - CHICAGO BOARD OF TRADE
35  =  COTTON NO. 2 - ICE FUTURES U.S.
36  =  CRUDE OIL, LIGHT SWEET - ICE FUTURES EUROPE
37  =  CRUDE OIL, LIGHT SWEET - NEW YORK MERCANTILE EXCHANGE
38  =  CSX COAL SWAP - NEW YORK MERCANTILE EXCHANGE
39  =  DJIA Consolidated - CHICAGO BOARD OF TRADE
40  =  DOW JONES INDUSTRIAL AVERAGE - CHICAGO BOARD OF TRADE
41  =  DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE
42  =  DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE
43  =  DRY WHEY - CHICAGO MERCANTILE EXCHANGE
44  =  DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC
45  =  DUBAI CRUDE OIL CALENDAR SWAP - NEW YORK MERCANTILE EXCHANGE
46  =  EAST WEST FUEL OIL SPR SWAP - NEW YORK MERCANTILE EXCHANGE
47  =  E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE
48  =  E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE
49  =  EUR 1% FUEL OIL NWE CAL SWAP - NEW YORK MERCANTILE EXCHANGE
50  =  EUR 3.5% FUEL OIL RTD CAL SWAP - NEW YORK MERCANTILE EXCHANGE
51  =  EURO FX - CHICAGO MERCANTILE EXCHANGE
52  =  EUROBOB OXY NWE CRK SPR - NEW YORK MERCANTILE EXCHANGE
53  =  EUROPEAN NAPHTHA CAL SWAP - NEW YORK MERCANTILE EXCHANGE
54  =  FAM BIODIESEL V GASOIL SPR SWP - NEW YORK MERCANTILE EXCHANGE
55  =  FEEDER CATTLE - CHICAGO MERCANTILE EXCHANGE
56  =  FRZN CONCENTRATED ORANGE JUICE - ICE FUTURES U.S.
57  =  FUEL OIL CARGOES B PLATTS SWAP - NEW YORK MERCANTILE EXCHANGE
58  =  GASOIL (ICE) SWAP - NEW YORK MERCANTILE EXCHANGE
59  =  GASOIL CRACK SPR SWAP - NEW YORK MERCANTILE EXCHANGE
60  =  GASOLINE BLENDSTOCK (RBOB) - NEW YORK MERCANTILE EXCHANGE
61  =  GOLD - COMMODITY EXCHANGE INC.
62  =  GULF # 6 FUEL 3.0% SULFUR SWAP - NEW YORK MERCANTILE EXCHANGE
63  =  GULF # 6 FUEL OIL CRACK SWAP - NEW YORK MERCANTILE EXCHANGE
64  =  GULF 3% FUEL OIL BALMO SWAP - NEW YORK MERCANTILE EXCHANGE
65  =  GULF COAST JET FUEL CAL SWAP - NEW YORK MERCANTILE EXCHANGE
66  =  GULF COAST ULSD CRACK SPR SWAP - NEW YORK MERCANTILE EXCHANGE
67  =  GULF COAST ULSD SWAP - NEW YORK MERCANTILE EXCHANGE
68  =  GULF JET NY HEAT OIL SPR SWAP - NEW YORK MERCANTILE EXCHANGE
69  =  GULF NO6 FO 3% v EUR 3.5% RDAM - NEW YORK MERCANTILE EXCHANGE
70  =  GULF#6 FUELOIL BRENT CRACK SWP - NEW YORK MERCANTILE EXCHANGE
71  =  HENRY HUB LAST DAY FIN - NEW YORK MERCANTILE EXCHANGE
72  =  HENRY HUB PENULTIMATE FIN - NEW YORK MERCANTILE EXCHANGE
73  =  HENRY HUB PENULTIMATE GAS SWAP - NEW YORK MERCANTILE EXCHANGE
74  =  HENRY HUB SWAP - NEW YORK MERCANTILE EXCHANGE
75  =  HOT ROLLED COIL STEEL - NEW YORK MERCANTILE EXCHANGE
76  =  HOUSTON SHIP CH BASIS SWAP - NEW YORK MERCANTILE EXCHANGE
77  =  HSC FIN BASIS - ICE FUTURES ENERGY DIV
78  =  HSC FIN BASIS - ICE OTC
79  =  IN DELIVERY MONTH EUA - GREEN EXCHANGE
80  =  IN DELIVERY MONTH EUA - NEW YORK MERCANTILE EXCHANGE
81  =  INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE
82  =  INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE
83  =  ISO NEW ENG HUB OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
84  =  ISO NEW ENG INT HUB PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
85  =  ISO NEW ENG OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE
86  =  ISO NEW ENGLAND LMP SWAP - NEW YORK MERCANTILE EXCHANGE
87  =  JAPAN C&F NAPHTHA SWAP - NEW YORK MERCANTILE EXCHANGE
88  =  JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE
89  =  LEAN HOGS - CHICAGO MERCANTILE EXCHANGE
90  =  LIVE CATTLE - CHICAGO MERCANTILE EXCHANGE
91  =  LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE
92  =  MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE
93  =  MID-C FINANCIAL OFF-PEAK OTC - ICE FUTURES ENERGY DIV
94  =  MID-C FINANCIAL OFF-PEAK OTC - ICE OTC
95  =  MID-C FINANCIAL PEAK OTC - ICE FUTURES ENERGY DIV
96  =  MID-C FINANCIAL PEAK OTC - ICE OTC
97  =  MILK, Class III - CHICAGO MERCANTILE EXCHANGE
98  =  MINI EUR 3.5%FOIL RTD CAL SWAP - NEW YORK MERCANTILE EXCHANGE
99  =  MINI SOYBEANS - CHICAGO BOARD OF TRADE
100  =  MSCI EAFE MINI INDEX - NYSE LIFFE
101  =  MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE
102  =  MT BELV NAT GASOLINE OPIS SWAP - NEW YORK MERCANTILE EXCHANGE
103  =  MT BELV NORM BUTANE OPIS SWAP - NEW YORK MERCANTILE EXCHANGE
104  =  MT BELVIEU ETHANE OPIS SWAP - NEW YORK MERCANTILE EXCHANGE
105  =  MT BELVIEU PROPANE (OPIS) SWAP - NEW YORK MERCANTILE EXCHANGE
106  =  MW IND TR REAL TIME PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
107  =  NAPHTHA CRACK SPR SWAP - NEW YORK MERCANTILE EXCHANGE
108  =  NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE
109  =  NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE
110  =  NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE
111  =  NATURAL GAS - NEW YORK MERCANTILE EXCHANGE
112  =  NATURAL GAS ICE HENRY HUB - ICE FUTURES ENERGY DIV
113  =  NATURAL GAS ICE HENRY HUB - ICE OTC
114  =  NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE
115  =  NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE
116  =  NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE
117  =  NO. 2 HEATING OIL, N.Y. HARBOR - NEW YORK MERCANTILE EXCHANGE
118  =  NORTH ILL CAL MONTH LMP SWAP - NEW YORK MERCANTILE EXCHANGE
119  =  NORTH ILL OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE
120  =  NWP ROCKIES FIN BASIS - ICE FUTURES ENERGY DIV
121  =  NWP ROCKIES FIN BASIS - ICE OTC
122  =  NY 1% V GULF 3% FUEL OIL SPR - NEW YORK MERCANTILE EXCHANGE
123  =  NY FO 1% v EUR 1% FO FOB NWE - NEW YORK MERCANTILE EXCHANGE
124  =  NY RES FUEL 1.0% SULFUR SWAP - NEW YORK MERCANTILE EXCHANGE
125  =  NY ULSD VS HEATING OIL SPR SWP - NEW YORK MERCANTILE EXCHANGE
126  =  NYISO ZONE A 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
127  =  NYISO ZONE A LBMP SWAP - NEW YORK MERCANTILE EXCHANGE
128  =  NYISO ZONE G 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
129  =  NYISO ZONE G5 MW OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
130  =  NYISO ZONE J 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
131  =  NYMEX HEATING OIL/RDAM GASOIL - NEW YORK MERCANTILE EXCHANGE
132  =  OATS - CHICAGO BOARD OF TRADE
133  =  PALLADIUM - NEW YORK MERCANTILE EXCHANGE
134  =  PANHANDLE BASIS SWAP - NEW YORK MERCANTILE EXCHANGE
135  =  PG&E CITYGATE FIN BASIS - ICE FUTURES ENERGY DIV
136  =  PG&E CITYGATE FIN BASIS - ICE OTC
137  =  PJM AEP DAY HUB 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
138  =  PJM AEP DAYTON OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
139  =  PJM AEP OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
140  =  PJM CAL MONTH OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE
141  =  PJM ELECTRICITY MONTHLY - NEW YORK MERCANTILE EXCHANGE
142  =  PJM N ILL HUB 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
143  =  PJM N ILL HUB 5 OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE
144  =  PJM N ILL OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
145  =  PJM N ILL PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
146  =  PJM PSEG OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
147  =  PJM PSEG PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
148  =  PJM WESTERN OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
149  =  PJM WESTERN OFF PEAK REAL TIME - NEW YORK MERCANTILE EXCHANGE
150  =  PJM WESTERN PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE
151  =  PJM WESTERN PEAK REAL TIME - NEW YORK MERCANTILE EXCHANGE
152  =  PJM WH OFF PEAK REAL TIME OTC - ICE FUTURES ENERGY DIV
153  =  PJM WH OFF PEAK REAL TIME OTC - ICE OTC
154  =  PJM WH REAL TIME PEAK OTC - ICE FUTURES ENERGY DIV
155  =  PJM WH REAL TIME PEAK OTC - ICE OTC
156  =  PLATINUM - NEW YORK MERCANTILE EXCHANGE
157  =  RANDOM LENGTH LUMBER - CHICAGO MERCANTILE EXCHANGE
158  =  RBOB CALENDAR SWAP - NEW YORK MERCANTILE EXCHANGE
159  =  RBOB GASOLINE/BRENT CRACK SPRD - NEW YORK MERCANTILE EXCHANGE
160  =  RBOB UP-DOWN CAL SWAP - NEW YORK MERCANTILE EXCHANGE
161  =  ROUGH RICE - CHICAGO BOARD OF TRADE
162  =  RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.
163  =  RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE
164  =  S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE
165  =  S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE
166  =  S&P GSCI COMMODITY INDEX - CHICAGO MERCANTILE EXCHANGE
167  =  SILVER - COMMODITY EXCHANGE INC.
168  =  SING 180 380 FUEL OIL SPR SWAP - NEW YORK MERCANTILE EXCHANGE
169  =  SING 380 FUEL OIL SWAP - NEW YORK MERCANTILE EXCHANGE
170  =  SING FUEL OIL 180 CAL SWAP - NEW YORK MERCANTILE EXCHANGE
171  =  SING GASOIL BALMO SWAP - NEW YORK MERCANTILE EXCHANGE
172  =  SING GASOIL ICE GASOIL SWAP - NEW YORK MERCANTILE EXCHANGE
173  =  SING GASOIL SWAP - NEW YORK MERCANTILE EXCHANGE
174  =  SING GASOIL/RDAM GASOIL SWAP - NEW YORK MERCANTILE EXCHANGE
175  =  SING JET KERO GASOIL SPR SWAP - NEW YORK MERCANTILE EXCHANGE
176  =  SING JET KERO SWAP - NEW YORK MERCANTILE EXCHANGE
177  =  SINGAPORE MOGUS 92 SWAP FUTURE - NEW YORK MERCANTILE EXCHANGE
178  =  SOCAL BORDER FIN BASIS - ICE FUTURES ENERGY DIV
179  =  SOCAL BORDER FIN BASIS - ICE OTC
180  =  SOYBEAN MEAL - CHICAGO BOARD OF TRADE
181  =  SOYBEAN OIL - CHICAGO BOARD OF TRADE
182  =  SOYBEANS - CHICAGO BOARD OF TRADE
183  =  SP15 FIN DA LPM OFF PEAK OTC - ICE FUTURES ENERGY DIV
184  =  SP15 FIN DA LPM OFF PEAK OTC - ICE OTC
185  =  SP15 FIN DAYAHEAD LPM PEAK OTC - ICE FUTURES ENERGY DIV
186  =  SP15 FIN DAYAHEAD LPM PEAK OTC - ICE OTC
187  =  SUGAR NO. 11 - ICE FUTURES U.S.
188  =  SWISS FRANC - CHICAGO MERCANTILE EXCHANGE
189  =  U.S. DOLLAR INDEX - ICE FUTURES U.S.
190  =  U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE
191  =  ULSD UP-DOWN BALMO SWAP - NEW YORK MERCANTILE EXCHANGE
192  =  UP DOWN GC ULSD VS HO SPR SWAP - NEW YORK MERCANTILE EXCHANGE
193  =  VIX FUTURES - CBOE FUTURES EXCHANGE
194  =  WAHA BASIS SWAP - NEW YORK MERCANTILE EXCHANGE
195  =  WAHA FIN BASIS - ICE FUTURES ENERGY DIV
196  =  WAHA FIN BASIS - ICE OTC
197  =  WHEAT - CHICAGO BOARD OF TRADE
198  =  WHEAT - KANSAS CITY BOARD OF TRADE
199  =  WHEAT - MINNEAPOLIS GRAIN EXCHANGE
200  =  WTI CRUDE OIL CALENDAR SWAP - NEW YORK MERCANTILE EXCHANGE
201  =  WTI CRUDE OIL FINANCIAL - NEW YORK MERCANTILE EXCHANGE

COTColumnNo — choose a numeric value from this selection, depending on the COT value you want plotted:
Inserted Code
8  =  Open_Interest_All
9  =  NonComm_Positions_Long_All
10  =  NonComm_Positions_Short_All
11  =  NonComm_Postions_Spread_All
12  =  Comm_Positions_Long_All
13  =  Comm_Positions_Short_All
14  =  Tot_Rept_Positions_Long_All
15  =  Tot_Rept_Positions_Short_All
16  =  NonRept_Positions_Long_All
17  =  NonRept_Positions_Short_All
18  =  Open_Interest_Old
19  =  NonComm_Positions_Long_Old
20  =  NonComm_Positions_Short_Old
21  =  NonComm_Positions_Spread_Old
22  =  Comm_Positions_Long_Old
23  =  Comm_Positions_Short_Old
24  =  Tot_Rept_Positions_Long_Old
25  =  Tot_Rept_Positions_Short_Old
26  =  NonRept_Positions_Long_Old
27  =  NonRept_Positions_Short_Old
28  =  Open_Interest_Other
29  =  NonComm_Positions_Long_Other
30  =  NonComm_Positions_Short_Other
31  =  NonComm_Positions_Spread_Other
32  =  Comm_Positions_Long_Other
33  =  Comm_Positions_Short_Other
34  =  Tot_Rept_Positions_Long_Other
35  =  Tot_Rept_Positions_Short_Other
36  =  NonRept_Positions_Long_Other
37  =  NonRept_Positions_Short_Other
38  =  Change_in_Open_Interest_All
39  =  Change_in_NonComm_Long_All
40  =  Change_in_NonComm_Short_All
41  =  Change_in_NonComm_Spead_All
42  =  Change_in_Comm_Long_All
43  =  Change_in_Comm_Short_All
44  =  Change_in_Tot_Rept_Long_All
45  =  Change_in_Tot_Rept_Short_All
46  =  Change_in_NonRept_Long_All
47  =  Change_in_NonRept_Short_All
48  =  Pct_of_Open_Interest_All
49  =  Pct_of_OI_NonComm_Long_All
50  =  Pct_of_OI_NonComm_Short_All
51  =  Pct_of_OI_NonComm_Spread_All
52  =  Pct_of_OI_Comm_Long_All
53  =  Pct_of_OI_Comm_Short_All
54  =  Pct_of_OI_Tot_Rept_Long_All
55  =  Pct_of_OI_Tot_Rept_Short_All
56  =  Pct_of_OI_NonRept_Long_All
57  =  Pct_of_OI_NonRept_Short_All
58  =  Pct_of_Open_Interest_Old
59  =  Pct_of_OI_NonComm_Long_Old
60  =  Pct_of_OI_NonComm_Short_Old
61  =  Pct_of_OI_NonComm_Spread_Old
62  =  Pct_of_OI_Comm_Long_Old
63  =  Pct_of_OI_Comm_Short_Old
64  =  Pct_of_OI_Tot_Rept_Long_Old
65  =  Pct_of_OI_Tot_Rept_Short_Old
66  =  Pct_of_OI_NonRept_Long_Old
67  =  Pct_of_OI_NonRept_Short_Old
68  =  Pct_of_Open_Interest_Other
69  =  Pct_of_OI_NonComm_Long_Other
70  =  Pct_of_OI_NonComm_Short_Other
71  =  Pct_of_OI_NonComm_Spread_Other
72  =  Pct_of_OI_Comm_Long_Other
73  =  Pct_of_OI_Comm_Short_Other
74  =  Pct_of_OI_Tot_Rept_Long_Other
75  =  Pct_of_OI_Tot_Rept_Short_Other
76  =  Pct_of_OI_NonRept_Long_Other
77  =  Pct_of_OI_NonRept_Short_Other
78  =  Traders_Tot_All
79  =  Traders_NonComm_Long_All
80  =  Traders_NonComm_Short_All
81  =  Traders_NonComm_Spread_All
82  =  Traders_Comm_Long_All
83  =  Traders_Comm_Short_All
84  =  Traders_Tot_Rept_Long_All
85  =  Traders_Tot_Rept_Short_All
86  =  Traders_Tot_Old
87  =  Traders_NonComm_Long_Old
88  =  Traders_NonComm_Short_Old
89  =  Traders_NonComm_Spead_Old
90  =  Traders_Comm_Long_Old
91  =  Traders_Comm_Short_Old
92  =  Traders_Tot_Rept_Long_Old
93  =  Traders_Tot_Rept_Short_Old
94  =  Traders_Tot_Other
95  =  Traders_NonComm_Long_Other
96  =  Traders_NonComm_Short_Other
97  =  Traders_NonComm_Spread_Other
98  =  Traders_Comm_Long_Other
99  =  Traders_Comm_Short_Other
100  =  Traders_Tot_Rept_Long_Other
101  =  Traders_Tot_Rept_Short_Other
102  =  Conc_Gross_LE_4_TDR_Long_All
103  =  Conc_Gross_LE_4_TDR_Short_All
104  =  Conc_Gross_LE_8_TDR_Long_All
105  =  Conc_Gross_LE_8_TDR_Short_All
106  =  Conc_Net_LE_4_TDR_Long_All
107  =  Conc_Net_LE_4_TDR_Short_All
108  =  Conc_Net_LE_8_TDR_Long_All
109  =  Conc_Net_LE_8_TDR_Short_All
110  =  Conc_Gross_LE_4_TDR_Long_Old
111  =  Conc_Gross_LE_4_TDR_Short_Old
112  =  Conc_Gross_LE_8_TDR_Long_Old
113  =  Conc_Gross_LE_8_TDR_Short_Old
114  =  Conc_Net_LE_4_TDR_Long_Old
115  =  Conc_Net_LE_4_TDR_Short_Old
116  =  Conc_Net_LE_8_TDR_Long_Old
117  =  Conc_Net_LE_8_TDR_Short_Old
118  =  Conc_Gross_LE_4_TDR_Long_Other
119  =  Conc_Gross_LE_4_TDR_Short_Other
120  =  Conc_Gross_LE_8_TDR_Long_Other
121  =  Conc_Gross_LE_8_TDR_Short_Other
122  =  Conc_Net_LE_4_TDR_Long_Other
123  =  Conc_Net_LE_4_TDR_Short_Other
124  =  Conc_Net_LE_8_TDR_Long_Other
125  =  Conc_Net_LE_8_TDR_Short_Other
(Hence there are more than 23,500 combos of Item Type and Column No that can potentially be plotted).

See screenshots back in post #14 for examples.

David
Attached Image (click to enlarge)
Click to Enlarge Name: Image 028.png Size: 80 KB
Attached File(s)
File Type: mqh hanover --- extensible functions.mqh   113 KB | 575 downloads
File Type: mqh hanover --- function header.mqh   13 KB | 599 downloads
File Type: ex4 Plot COT futures data.ex4   46 KB | 631 downloads
File Type: mq4 Plot COT futures data.mq4   7 KB | 651 downloads
File Type: csv COT futures item types.csv   10 KB | 682 downloads
File Type: csv COT futures values.csv   3 KB | 582 downloads
  • #29
  • Mar 28, 2013 6:44pm Mar 28, 2013 6:44pm
I've been using this for a few years now. It's by far the easiest way to get weekly data I've ever used. I download and update the data every Sunday evening - takes about 5 minutes.

http://articles.mql4.com/867

Be warned, it's a HUGE article but it's worth the read. Chock-full of great info on analyzing COT data.
Just throwing it out there for y'all. In my adventures, I've found that Hanover makes some awesome stuff.

Hope this helps.
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  • #30
  • Mar 28, 2013 7:02pm Mar 28, 2013 7:02pm
Thanks for that link Bilstein, 'tis indeed a huge article

Here's some more COT stuff...

Commercial hedgers trade against a trend and large traders go with trend.

COT links

CFTC source (scroll down to [Current Legacy Reports:] -> Chicago Mercantile Exchange -> click [Short Format] )
Raw COT data
COT with open interest
COT with candles
Line graph COT
Politics is the womb in which war develops.
  • #31
  • Mar 28, 2013 7:55pm Mar 28, 2013 7:55pm
Quoting FiatFap
Thanks for that link Bilstein, 'tis indeed a huge article
Yeah

It took me a couple days to grasp it all and I won't lie, setting it up initially on MT4 is a bit annoying - but not difficult. Once it's set up, you just DL the txt file from the CFTC, rename it, overwrite the old one (every week), erase old .csv files (it comes with a .bat file for that) and run a couple of scripts to build and concatenate .csv files and poof, data! It also comes with a bunch of indicators that use weekly COT data to gauge all kinds of goodies.

  • #32
  • Mar 28, 2013 8:14pm Mar 28, 2013 8:14pm
Quoting Bilstein
I've been using this for a few years now. It's by far the easiest way to get weekly data I've ever used. I download and update the data every Sunday evening - takes about 5 minutes. .......
Many thanks, but it's too bad you didn't post this earlier, would have saved me several hours work. Ah well.

A good read, though, I look forward to learning about what COT is all about. I'd never heard of it before I encountered this thread.

@FiatFap: thanks for the links.
  • #33
  • Mar 28, 2013 9:27pm Mar 28, 2013 9:27pm
Quoting Bilstein
It took me a couple days to grasp it all and I won't lie, setting it up initially on MT4 is a bit annoying - but not difficult. Once it's set up, you just DL the txt file from the CFTC, rename it, overwrite the old one (every week), erase old .csv files (it comes with a .bat file for that) and run a couple of scripts to build and concatenate .csv files and poof, data! It also comes with a bunch of indicators that use weekly COT data to gauge all kinds of goodies.
That sounds like effort; would be easy (but tedious) to create a .NET app to screen scrape the weekly COT and extrapolate the data, then write it to a csv file in the experts folder, then a script could use the data accordingly.

I suspect this is what the sites do for the links i posted earlier, so i don't understand why people would want an indy in MT4, it seems redundant.

Attached Image (click to enlarge)
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So from above, we see euro is net short and then you subtract the difference from the net difference from the blue circle numbers (previous week), but it's re-inventing the wheel and the oanda tool is great because it also shows open interest differences.

This is an EXCELLENT article!
Politics is the womb in which war develops.
  • #34
  • Mar 29, 2013 7:21am Mar 29, 2013 7:21am
Quoting hanover
Many thanks, but it's too bad you didn't post this earlier, would have saved me several hours work. Ah well.

A good read, though, I look forward to learning about what COT is all about. I'd never heard of it before I encountered this thread.
I know! I'm sorry bud. Every time I see a COT thread slide across the main page I drop the link in there to try and save guys like you the work but I was late to this party.

Quote
That sounds like effort; would be easy (but tedious) to create a .NET app to screen scrape the weekly COT and extrapolate the data, then write it to a csv file in the experts folder, then a script could use the data accordingly.

I suspect this is what the sites do for the links i posted earlier, so i don't understand why people would want an indy in MT4, it seems redundant.

It is a little effort getting it set up. But after all the files are put where they're supposed to go it's really quite a breeze. I set the concatenate and build scripts to hot keys so I really just DL the text file, change the name - from annual.txt to annual13.txt, drop it into my MT4 "files", click the "erase" batch, switch over to MT4 and hit ALT+2 (wait about a minute) then hit ALT+3 and it's done.

As for having the indicator on MT4; it's just easier for me to have the data to reference in one place. The Meta COT stuff comes with indicators described in Larry Williams books that extrapolate the data and formulate them into different indexes and such for longer-term signals. Some of them take the COT data and quantify it, break it down, etc. I mean, it's a cool set of tools to look back at historical data and see "what happens when" - ya know? The cool thing about Meta COT is the ability to combine reports for currencies and make indexes out of the COT data. Like a USD index, for example, or a "European currencies" index etc. It's a very customizable and flexible set of tools.

I was under the impression that a lot of web sites using COT data were charging for it which, to me, is a load of garbage given that the CFTC releases it for free. Heck, even the CFTC has starting putting COT charts on their web site: http://www.cmegroup.com/trading/fx/cftc-tff/main.html (not as good as everything else, lol).
  • #35
  • Apr 17, 2013 3:54pm Apr 17, 2013 3:54pm
Hi Hanover !

I'm using the stochastic dashboard from here:
http://www.forexfactory.com/showthre...26#post6539426

From your screenshot I see that this dashboard works also on many other currencies, but when I put it on my charts
show me only 7 pairs: AUDUSD, EURUSD, GBPUSD, NZDUSD, USDCAD, USDCHF, USDJPY. That's it.
I don't understand why, can you help me, please.

Thank you

Quoting hanover
Follow the instructions in post #14, point 4. Make sure that you specify a different FileName each time you attach the indy. The indy works correctly on my computer. If it doesn't work on your computer, then I'm sorry, I don't know how to help you. Your computer configuration must be somehow different to mine, but I have no way of knowing how. I am running Windows XP Pro SP2 and Pepperstone MT4 build 427.
  • #36
  • Apr 18, 2013 6:55pm Apr 18, 2013 6:55pm
Bilstien, Excellent COT link and read! I attended Larry Williams webinar on this topic yesterday which is why I am looking at COT Reports for FOREX today. That led me to finding this thread. Great!

Quoting Bilstein
I've been using this for a few years now. It's by far the easiest way to get weekly data I've ever used. I download and update the data every Sunday evening - takes about 5 minutes. http://articles.mql4.com/867 Be warned, it's a HUGE article but it's worth the read. Chock-full of great info on analyzing COT data. Just throwing it out there for y'all. In my adventures, I've found that Hanover makes some awesome stuff. Hope this helps. {image}
  • #37
  • Mar 12, 2014 11:46am Mar 12, 2014 11:46am
hello.. guys..
im just curious about COT..
how can we still sure and confirm about next move.. with COT..?
i've got COT chart that i think a little bit messy.. so i cant be sure.. last week bias will still continue for next week.. ??

note : i marked in chart below when price already reversed.. while COT net position.. indicated still going up..
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  • #38
  • Mar 12, 2014 12:23pm Mar 12, 2014 12:23pm
I was looking for something like this as I look at the COT each week, but it doesn't work on my pc. I downloaded files from cftc, change txt for annual and indy says can't find annual.txt file, placed them in both MQL/Expert files folder just to be sure,
Can you guys advice please?
swing it!
  • #39
  • May 2, 2014 7:59pm May 2, 2014 7:59pm
Quoting tomspin
I was looking for something like this as I look at the COT each week, but it doesn't work on my pc. I downloaded files from cftc, change txt for annual and indy says can't find annual.txt file, placed them in both MQL/Expert files folder just to be sure, Can you guys advice please?
new mt4 build above 600 have changed language. I have same problems if some1 find solution how to fix please post i cant do without willco indy
  • #40
  • May 2, 2014 10:48pm May 2, 2014 10:48pm
the COT data mostly only shows what happened last wk, so usually a waste of time
better off following Buffets shares / Bill Gross
and the devil himself (allegedly) Soros
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