Free Economic Indicators: COT, US data and more to come!

Hello everyone,

In this thread I'd like to share with you some side results of project I'm currently working on right now. It's a package of indicators which can be used to get economic data - Commitment of Traders (COT) reports, US economic data (like inflation, unemployment, GDP, money supply etc.). I'm using these indicators as a feeds for my ANN system, but I believe lots of you will find it useful in your trade and analysis.

ALL DATA IS UPDATED AUTOMATICALLY!
No need to cope with files, manual stuff etc. I'm getting the data from official web sites directly! So once the new info appears on sites like CFTC, BLS, FRED etc - the system automatically gets it.

What trading platforms supported. Currently its implemented for MetaTrader 4 and NinjaTrader 7 - but actually I'm gonna implement it for other platforms like ZuluTrade, Ninja Trader etc. (unfortunately I'm not familiar with their codebase yet - so it will take me some time to learn).

How it looks. Here are the examples of what you can get on your MT4 terminal.
Examples of COT reports and charts


And here's how economic data can be presented


You can download the package with indicators from this page - http://www.darkmindfx.com/freedownload.html - also there you'll find the instructions on how to make these indicators available in your MT4 terminal.

NOTE: All this stuff is in Very BETA stage! If you'll try it and face any issues - don't hesitate and drop me a line - wither in this thread on as private message. I'll try to fix it ASAP.

More to come!

UPDATE (depricated):
Here is the installation instruction for MetaTrader 4.
System Requirements
Windows 7 with .NET Framework: v. 4.5 or higher - you can download it here - https://www.microsoft.com/en-US/down....aspx?id=30653
Windows 8 and higher
Installation
1. Download ZIP archive with the package
2. In your MetaTrader 4 terminal select File -> Open Data Folder
3. In ther opened window navigate to MQL4\Indicators
4. Extract archive content to this folder - you'll get the DarkMondFx folder with .ex4 and .dll files
5. Now open you MetaTrader 4 installation folder - i.e. C:\Program Files (x86)\FXCM MetaTrader 4\
6. Move all the .dll files except DarkMindConnect.dll from MQL4\Indicators\DarkMindFx to this folder
7. In MetaTrader 4 terminal open Tools > Options > Experts Advisers tab and make sure "Allow DLL imports" checked
8. Refresh indicators list in the terminal
Done! Now your trading environment is ready and you can add indicator windows to your chart.

UPDATE 2016/05/22:
Commitment of Traders indicators list is extended with new ones and now you can view data like :
1. COT (new form) - Dealers / Asset Managers / Leveraged Money
2. COT (old form) - Commercials / Non-Commercials / Speculators (e.g. small participants)
3. COT Index for new form
4. COT Index for old form
I've also uploaded a small video to clarify the installation procedure step-by-step - so now if you're not sure how it should be done - just watch

UPDATE 2016/06/14:
NinjaTrader 7 support is added!

Here is the Step-By-Step Guide
1. Download ZIP archive with the package
2. In your NinjaTrader 7 terminal select File > Utilities > Import NinjaScript...
3. In the opened window select ZIP file and click "Open"
4. After importing is done - restart NinjaTrader terminal

Watch the video guide on how to install indicators on your machine

https://www.youtube.com/watch?v=jsipjJq0_0U

UPDATE 2016/10/16:
United Kingdom Economic Indicators added to the package

In case if you're trading GBP-related pairs this could be useful: I've added around 50 new economic indicators for Great Britain - right now they cover following types of info:
1. GDP and trade information
2. Consumer Prices
3. Producer Prices
4. Money Supply

I'll continue extending the package to make approximately the same set of indicator as I did for US - so there will be employment, housing, more about export/import and so on.

So feel free to download indicators, use them and drop me your feedback - I'll be trying to react ASAP. Stay tuned!

UPDATE 2016/11/16:
Setup Wizard - now it's just Plug'n'Play

This is the new update of MetaTrader 4 / 5 package - now you don't need to bother with all that files copying etc. Trust me - I know what kind of pain it is. But now you just download the wizard, run it and follow the steps.

Before the installation please check system requirements
Windows 7 with .NET Framework: v. 4.5 or higher - you can download it here - https://www.microsoft.com/en-US/down....aspx?id=30653
Windows 8 and higher

Here is the video guide on how it works now:

https://www.youtube.com/watch?v=wTVK...ature=youtu.be

UPDATE 2016/12/05:
New Platform Setup Wizard - now available on cTrader!
PLUS
Complete Set of COT Reports for all financials, commodities and other instruments

The new update is ready!
There you can find:
- 250+ COT report instruments - a complete set provided by CFTC!
- Support of new platform - cTrader. So now you can choose from three lug-ons for major platforms - MetaTrader, NinjaTrader and cTrader!
- COT Reports indicator enchantment - now you can select the instrument from dropdown without need to remember the COT market codes!

Attached Image (click to enlarge)

Attached Image (click to enlarge)

Stay tuned! More to come!

UPDATE 2017/01/02:
Major update is here!
Support of 50 000+ indicators (almost complete set of data) for U.S. Economy from Federal Reserve Bank of St. Louis (aka FRED)

Now you can get almost unlimited access to all data available at FRED database. Everything: National Accounts, Pricing, Employment, Balance of Trade and hundreds and hundreds of other categories. Now it's all available with new indicator called US.FRED (you can find it under DarkMindFX -> Data Sources folder).

For example, you'd like to add Real GDP (quarterly) data.
So all you need to do is:
1. Find the proper data page at official FRED web site - i.e. https://fred.stlouisfed.org/series/A191RL1Q225SBEA
2. In your MetaTrader terminal (as well as cTrader or NinjaTrader) select US.FRED indicator - and open Inputs tab
3. From the FRED's page copy the data series code and set it as a parameter of the indicator - see screen shot below.

DONE! Now you can get (almost) any data series from FRED database and integrate it straight into terminal as a chart or use it in your MQL file.



UPDATE 2017/02/05:
Major update is here!
Support of 500+ indicators (all Top Picks) for U.S. Labor from Bureau of Labor Statistics (aka BLS)

New data source is now available. From now you can also add the data from the BLS database to your terminals.
The new indicator - US.BLS - is added to the list of data sources (you can find it under DarkMindFX -> Data Sources folder)

In order to display the chart with the data from the BLS database you just need the following:
1. Choose the data you'd like to see on the BLS web-site - let's say it's "Labor Productivity (Output per hour)" - you can see it here https://data.bls.gov/cgi-bin/surveymost?pr
2. Take the series id - PRS84006092
3. In your MetaTrader terminal (as well as cTrader or NinjaTrader) select US.FRED indicator - and open Inputs tab
4. Set the series id as a parameter



DONE! Now you can get over 500+ indicators from BLS database and integrate it straight into terminal as a chart or use it in your MQL file.

BUT... don't go anywhere - it's just a beginning!

UPDATE 2017.07.02
Hello fellow Traders!

New update is here! In the recent package you'll find:
1. New COT indicator - dis-aggregated commodities report where information is presented as for "Producer-Merchant-Processor-User","Swap Dealers", "Managed Money", "Other Reportables" and "Open Interest"
2. Open Interest is added to Regular COT report - so right now you can see both "Commercials/Non-Commercials/Speculators" AND "Open Interest" on the same chart
3. Some fixes and enhancements.

As usual the package is FREE and can be downloaded using the link in the original message at the beginning of this thread. The packages are available for three platforms - MetaTrader 4, NinjaTrader and cTrader.

UPDATE 2017.10.10 is here

I know there were issues on some machines related to running the setup for MetaTrader - so this is fixed! Also the setup become smaller!
Also NinjaTrader 7 package was updated as well to fix corrupted content.

Feel free to download and install!

UPDATE 2017.11.20 is HERE

The new update for all three platforms is here - for MetaTrader, cTrader and NinjaTrader. Feel free to download. There were some minor bug fixes and improvements.

In case if needed - please find here the zip file with indicators for MT4



PLUS

Here I'd like to attach an example on how to use the COT indicator in your code thru iCustom(...).





ATTENTION! It seems like MT4 is not very optimal in working with custom indicators when they are referenced in your code. This causes in the significant decrease in the performance - according to my brief investigation MT4 loads the indicator on each call. So you can face some delay and application "freezing" when the custom indicator is added to terminal. Even though my indicators are caching the data which the download - but still, you can face the delays due to the fact that my indicators need to load the data from the net.



Enjoy and Stay Tune - more to come!

Interesting to keep track of fundamental data.

added it to mt4, they show up in the indicator field yet I cannot attach them to a chart ?

Hi johninthai
Thanks for feedback. Questions: have you followed the steps on the page? Some files should be moved from Indicators folder to you MT4 installation folder. Also if you have Win7 you'll need to install some additional pack - .NET Framework 4.5 from Microsoft.
And BTW! Check the following: In MetaTrader 4 terminal open Tools > Options > Experts Advisers tab and make sure "Allow DLL imports" checked - usually by default this checkbox is unchecked and indicators won't be working without it!

OK, so let's continue.
Commitment Of Traders (COT) reports.
The Commitment Of Traders is displayed in form of three values - net positions of Dealers, Asset Managers and Leveraged Money. Currently it supports financial futures-and-options values from CFTC. In order to display report for some particular position you'll need to specify COT Market Code of the instrument:



Here is the list of instruments supported and their COT Market Codes:

COT Canadian Dollar 90741
COT Swiss Franc 92741
COT British Pound 96742
COT Japanese Yen 97741
COT Euro Fx 99741
COT Australian Dollar 232741
COT Euro Fx/British Pound 299741
COT Russian Ruble 89741
COT Mexican Peso 95741
COT Brazilian Real 102741
COT New Zealand Dollar 112741
COT S.African Rand 122741
COT DJIA Consolidated 12460+
COT DJIA 124603
COT S&P 500 Consolidated 13874+
COT S&P 500 Stock Index 138741
COT E-mini S&P 500 Stock Index 13874A
COT NASDAQ-100 Consolidated 20974+
COT NASDAQ-100 Stock Index (Mini) 209742
COT Russel 2000 Mini Index Future 23977A
COT Nikkei Stock Average 240741
COT MSCI EAFE Mini Index 244041
COT MSCI Emerging Mkts Mini Index 244042
COT E-mini S&P 400 Stock Index 33874A
COT U.S. Treasury Bonds 20601
COT Long-Term U.S. Treasury Bonds 20604
COT 2-y U.S. Treasury Notes 42601
COT 10-y U.S. Treasury Notes 43602
COT ULTRA 10-y U.S. Treasury Notes 43607
COT 5-y U.S. Treasury Notes 44601
COT 30-days Federal Funds 45601
COT 3-month EuroDollars 132741
COT 10-y Deliverable IR Swap 246605
COT 5-y Deliverable IR Swap 246606
U.S. Dollar Index 98662
VIX Futures 11700
Dow Jones UBS Excess Return 221602

These are all the standard values so you can also find the on CFTC website.

I'm also planning to add other COT data like stuff or the commodities etc.

Stay tuned!

US Economic data.
From own experience I know that when trading on daily charts it's quite useful to combine tech indicators with fundamental economic data. Actually I have never seen the solid package which provided such info. So I've decided to create MT4 indicators for US economic data myself. So the package in from the first post also contains list of indicators with US economic data. For now I've added only the major ones. BUT! This list is the subject of my primary interest and I want to add there as much info as possible.
In general if you want to have something specific there - just drop me a line either here or thru private message and I'll try to add it ASAP.
As for now there are following indicators:
US Consumer Sentiment
US Consumer Price Index
US Initial Claims
US Initial Claims 4 Weeks Avg
US M1 Money Supply
US M2 Money Supply
US Producer Price Index
US Real GDP (%)
US Real Retail and Food Services Sales (millions $)
US Total NFP (1000's)
US Unemloyment (%)

And more to come.
Once the package will be update I'll post notifications here so you can download the latest and greatest version! Guys, it's free! Take it, use in your trading - and give me your feedback!

Stay tuned.

Hi,
going through your message now and having a look what could be wrong.
An indicator with the US PMI would also be a great tool.

Hi
No problem, I'll add it.

thanks

No problem

BTW how it's going - did you manage to make it working on your MT4?

Hi, thanks able to work. My first time using cot. do you mind explain how izzit work with the graph consist of dealer, leverage money and asset manager? Thank u!

Hi wwtlouis
Thank you for your feedback
Regarding the COT report - here a good summary I've found somewhere:

The COT report provides the data broken down to 4 different types of traders:

1. Dealer/Intermediary - typically "sell-side" and include large banks (both US and non US) and dealers in swaps, securities and other derivatives.
2. Asset Manager/Institutional - typically "buy-side" and include pension funds, insurance companies etc'.
3. Leveraged Funds - typically "buy-side" and include hedge funds and money managers such as CTAs (registered commodity trading advisors) and CPOs (registered commodity pool operators) or unregistered funds as identified by the CFTC.
4. Other Reportables - typically "buy-side" and include reportable traders that that do not fit into none of the first three categories.

So in general what you can see with COT report how large banks are selling and how pension funds and hedge funds are buying. In general it's just another view on positioning - something like COT in for of Commercials, Large Speculators, Small Speculators but under another angle. BTW probably I'll also add COT report indicators in this form too.

Ok, I've added the PMI and some more ISM indicators - here is list of what's new there:

US ISM Manufacturing: PMI Composite Index
US ISM Manufacturing: New Orders Index
US ISM Manufacturing: Employment Index
US ISM Manufacturing: Production Index
US ISM Manufacturing: Prices Index
US ISM Manufacturing: Inventories Index
US ISM Manufacturing: Supplier Deliveries Index
US ISM Manufacturing: New Export Orders Index
US ISM Manufacturing: Customer Inventories Index
US ISM Manufacturing: Backlog of Orders Index
US ISM Manufacturing: Imports Index

Probably I'll try to organize them inside the package better - in subfolders etc.

Thanks, do we have to re install the file or just add them ?

You just need to download the latest zip and get ex4 files from there in the DarkMindFX folder - no re-installation needed.

But because the list of indicators is growing I'll try to arrange them better in subfolders - so probably in the later release it will require to remove old indicators and extract new ones with new folders hierarchy.

ok thanks

Nice development, thanks. Will follow closely.

Thanks Snowski !

UPDATE 05/08/2916

OK, so what I've got is a growing list of US indicators in the package. And now I've decided to organize them properly in the subfolders. So once (or if) you'll decide download the latest update from here - http://www.darkmindfx.com/freedownload.html - and install the new indicators in your MQL4\Indicators folder you'll see the following picture:



IMPORTANT
I would suggest you to remove the previous indicators from the MQL4\Indicators\DarkMindFX folder - in this case you'll have a clean and good structure and with no duplication of indicators in your list.

Here is the list of what is where:

01. GDP
This group contains info on GDP, Income, Consumption Expenditures and so on.

02. Consumer Price Index
Everything related to inflation - CPI and differentvariations and components of it

03. ISM Manufacturing
ISM data - like PMI, Inventories, New Orders etc.

04. Money Supply
Indicators for M1, M2 money supply

05. Employment
This group contains unemployment rates indicators, Non Farm Payrolls (NFP) data, Initial Jobless Claims and it's 4 week moving averages and so on

06. Surveys
This group will contain different kind of surveys

07. Trade Balance
Trading balance indicators - import, export, goods and services

08. Housing
Here you can find housing starts, construction spending and more

09. Producer Price Index
This group contains PPI and different related indicators

10. Retail Sales
Everything related to retail sales can be found here

In general there are already about 70+ indicators and I'm going to increase this list. So stay tuned!

good stuff man, thanks