The Commitments of Traders File Format

Shatterfield COT data separates each futures group into its own file. From there, it has the net positions for each group in the close field of the data, and it has that group's open interest in the volume and open interest fields of the data. The data is represented as the day it was collected by the CFTC, not the day that it is reported (usually 3 days later). Here is an ASCII example (from our .csv files) as to what the data looks like for a particular group.

		<TICKER>,<NAME>,<DATE>,<CLOSE>,<VOLUME>,<O/I>
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/09/2006,-56243,106223,106223
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/10/2006,-48088,103334,103334
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/11/2006,-48088,103334,103334
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/12/2006,-48088,103334,103334
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/13/2006,-48088,103334,103334
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/17/2006,-49851,103875,103875
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/18/2006,-49851,103875,103875
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/19/2006,-49851,103875,103875
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/20/2006,-49851,103875,103875
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/23/2006,-49851,103875,103875
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/24/2006,-48195,105565,105565
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/25/2006,-48195,105565,105565
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/26/2006,-48195,105565,105565
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/27/2006,-48195,105565,105565
		CANDOL-C,CANADIAN DOLLAR - CME - C,01/30/2006,-48195,105565,105565

What does all of this mean? The first line is a descriptor of what each column contains separated by commas, and all of the other lines are the COT data itself. Here is a line broken up into its individual components:

<TICKER> = CANDOL-C

Since COT data is not a standard data type, Shatterfield assigns a symbol to it that describes what it is in a miniaturized fashion. All ticker symbols are 14 characters or less. In this example, the CANDOL-C refers to the data as for the Canadian Dollar Commercials. The end value will be different depending on the group being represented ('-C' for Commercial Traders, '-N' for Non-Commercial Traders ('Large Speculators'), and '-S' for Small Traders ('Small Speculators' or 'Non-Reportable' positions)).

<NAME> = CANADIAN DOLLAR - CME - C

The name associated to the file. In the name field name of the future is stated, then the exchange that the future is traded on, and the group that is being represented. So in this example, this data is for the 'Canadian Dollar' that trades on the 'Chicago Mercantile Exchange' (CME/IMM) and is for the 'Commercials' group. The end value will be different depending on the group being represented ('-C' for Commercial Traders, '-N' for Non-Commercial Traders ('Large Speculators'), and '-S' for Small Traders ('Small Speculators' or 'Non-Reportable' positions)).

<DATE> = 01/09/2006

This is the data in a standardized American date format as MM/DD/YYYY. It is already in a Microsoft Excel formatted date field.

<CLOSE> = -56243

In a normal data file, this would be the closing price of a security. In this case, it is the Net Positions of the group being examined. So, this value means that the Commercial traders have 56,243 more short contracts than they do long contracts (represented by the minus sign in front of the number). Since it represents the Net Positions, the value can be either a positive value or a negative value.

<VOLUME> = 106223, = 106223

These values are the same so that you can use them in a variety of different software. The number represents the total number of contracts held by the particular group (in this case, the Commercial traders) regardless as to whether the contracts are long or short. If both a long and short position are held, that counts as two contracts, not one.

Because there are three groups, each group has its own file of data. So in this example of the Canadian Dollar, there would be one file for each of the following:

CANDOL-C for the Commercial Traders
CANDOL-N for the Non-Commercial Traders ('Large Speculators'), and
CANDOL-S for the Small Traders ('Small Speculators' or 'Non-Reportable' positions)

and each ASCII file would be as a .CSV file (Comma Separated Value) making it Microsoft Excel ready.

The COD Data in the MetaStock file format is set up the same way except that the Net Positions data is copied into the Open, High, and Low fields, as well as the Close field.