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Cot Report In Ninjatrader

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  • jrbolsa
    started a topic Cot Report In Ninjatrader

    Cot Report In Ninjatrader

    I need only a pair of modifications, but take a look at this:

    http://www.jrbolsa.com/jrCot.PNG

    I haven't been programming since mid-december until friday because of my work. I think I'll finish the cot report in this week.

    After that, two other indicators (seasonal and another one wich simulates the commercials in wathever index, stock, commodity, etc...).

    regards,
    jr.
    www.jrbolsa.com

  • zweistein
    replied
    COTReport for NinjaTrader 8

    Hello to all,

    finally a complete COTReport integration into NinjaTrader 8 is available.

    Please have a look at
    http://www.zweisteintrading.eu/cotreport.htm

    Best regards
    Andreas
    www.zweisteintrading.eu
    Attached Files

    Leave a comment:


  • Jonatan Allan
    replied
    Hello . I downloaded the data from the " CFTC.gov " and have the .zip files . But I did not understand how to add them in the " cot_report " table. This method is totally manual? Could you explain that? And the " contract_code " I use that you passed. For example? " Contract_code datafeed_code
    232741 6A " ?

    Leave a comment:


  • LucySwich
    replied
    I am most interested in the one used by Larry. That is what got me started on the COT to begin with. If you have an indicator programmed that works like the one Larry Williams uses, please let me know. If you rent it out on a monthly basis, then let me know the price and where to go to get hooked up. Thank you.Many thanks
    Last edited by NinjaTrader_Austin; 09-25-2011, 02:05 PM. Reason: edited out spam

    Leave a comment:


  • popeye
    replied
    i am not sure but this person seems to be utilizing Larry Williams technique of the COT proxy. is that what you are looking for?

    see http://uncleti88.blogspot.com/

    he is using it to trade stocks

    Leave a comment:


  • zweistein
    replied
    Hello,

    you could use my COTReport for NT7. See http://www.zweisteintrading.eu/cotreport.htm

    No monthly fee, just a one time payment.

    COTReport can also be used in backtesting (allthough some restrictions apply)

    regards

    andreas

    Leave a comment:


  • popeye
    replied
    Originally posted by Elliott Wave View Post
    Here is a different version.

    -I reversed the plot logic so above center is a rising trend, and below is a falling trend.

    -There is a second smoothed plot which can be used with the other line in a crossover system, or as the primary signal to reduce some whipsaws.

    -The color scheme has been changed to be a little less ugly.

    Hopefully its useful to somebody.


    *The version I'm using uses the JMA, but since that's a proprietary indicator, I used the T3 for this version.

    Hi EW,

    Do you have this for NT 7? doesn't seem to work in NT 7. Thanks!

    Leave a comment:


  • idolzhenko
    replied
    1. You must setup your mysql server
    2. You must create tables

    CREATE TABLE COT.cot_datafeed(
    contract_code CHAR (6) NOT NULL COMMENT 'CFTC Contract Market Code',
    datafeed_code VARCHAR (6) NOT NULL COMMENT 'Datafeed code',
    UNIQUE INDEX index1 USING BTREE (contract_code, datafeed_code)
    )

    CREATE TABLE COT.cot_report(
    report_date DATE NOT NULL COMMENT 'As of Date in Form YYYY-MM-DD',
    contract_code CHAR (6) NOT NULL COMMENT 'CFTC Contract Market Code',
    market_code VARCHAR (4) NOT NULL COMMENT 'CFTC Market Code in Initials',
    commodity_code CHAR (3) NOT NULL COMMENT 'CFTC Commodity Code',
    open_interest_all INT (11) NOT NULL COMMENT 'Open Interest (All)',
    large_long_all INT (11) NOT NULL COMMENT 'Noncommercial Positions-Long (All)',
    large_short_all INT (11) NOT NULL COMMENT 'Noncommercial Positions-Short (All)',
    large_spread_all INT (11) NOT NULL COMMENT 'Noncommercial Positions-Spreading (All)',
    comm_long_all INT (11) NOT NULL COMMENT 'Commercial Positions-Long (All)',
    comm_short_all INT (11) NOT NULL COMMENT 'Commercial Positions-Short (All)',
    comm_large_long_all INT (11) NOT NULL COMMENT 'Total Reportable Positions-Long (All)',
    comm_large_short_all INT (11) NOT NULL COMMENT 'Total Reportable Positions-Short (All)',
    specs_long_all INT (11) NOT NULL COMMENT 'Nonreportable Positions-Long (All)',
    specs_short_all INT (11) NOT NULL COMMENT 'Nonreportable Positions-Short (All)',
    open_interest_old INT (11) NOT NULL COMMENT 'Open Interest (Old)',
    large_long_old INT (11) NOT NULL COMMENT 'Noncommercial Positions-Long (Old)',
    large_short_old INT (11) NOT NULL COMMENT 'Noncommercial Positions-Short (Old)',
    large_spread_old INT (11) NOT NULL COMMENT 'Noncommercial Positions-Spreading (Old)',
    comm_long_old INT (11) NOT NULL COMMENT 'Commercial Positions-Long (Old)',
    comm_short_old INT (11) NOT NULL COMMENT 'Commercial Positions-Short (Old)',
    comm_large_long_old INT (11) NOT NULL COMMENT 'Total Reportable Positions-Long (Old)',
    comm_large_short_old INT (11) NOT NULL COMMENT 'Total Reportable Positions-Short (Old)',
    specs_long_old INT (11) NOT NULL COMMENT 'Nonreportable Positions-Long (Old)',
    specs_short_old INT (11) NOT NULL COMMENT 'Nonreportable Positions-Short (Old)',
    open_interest_other INT (11) NOT NULL COMMENT 'Open Interest (Other)',
    large_long_other INT (11) NOT NULL COMMENT 'Noncommercial Positions-Long (Other)',
    large_short_other INT (11) NOT NULL COMMENT 'Noncommercial Positions-Short (Other)',
    large_spread_other INT (11) NOT NULL COMMENT 'Noncommercial Positions-Spreading (Other)',
    comm_long_other INT (11) NOT NULL COMMENT 'Commercial Positions-Long (Other)',
    comm_short_other INT (11) NOT NULL COMMENT 'Commercial Positions-Short (Other)',
    comm_large_long_other INT (11) NOT NULL COMMENT 'Total Reportable Positions-Long (Other)',
    comm_large_short_other INT (11) NOT NULL COMMENT 'Total Reportable Positions-Short (Other)',
    specs_long_other INT (11) NOT NULL COMMENT 'Nonreportable Positions-Long (Other)',
    specs_short_other INT (11) NOT NULL COMMENT 'Nonreportable Positions-Short (Other)',
    change_open_interest_all INT (11) NOT NULL COMMENT 'Change in Open Interest (All)',
    change_large_long_all INT (11) NOT NULL COMMENT 'Change in Noncommercial-Long (All)',
    change_large_short_all INT (11) NOT NULL COMMENT 'Change in Noncommercial-Short (All)',
    change_large_spread_all INT (11) NOT NULL COMMENT 'Change in Noncommercial-Spreading (All)',
    change_comm_long_all INT (11) NOT NULL COMMENT 'Change in Commercial-Long (All)',
    change_comm_short_all INT (11) NOT NULL COMMENT 'Change in Commercial-Short (All)',
    change_cl_long_all INT (11) NOT NULL COMMENT 'Change in Total Reportable-Long (All)',
    change_cl_short_all INT (11) NOT NULL COMMENT 'Change in Total Reportable-Short (All)',
    change_specs_long_all INT (11) NOT NULL COMMENT 'Change in Nonreportable-Long (All)',
    change_specs_short_all INT (11) NOT NULL COMMENT 'Change in Nonreportable-Short (All)',
    INDEX idx_market_code USING BTREE (market_code),
    UNIQUE INDEX pk_cot_report USING BTREE (contract_code, report_date)
    )

    3. You must get COT report from CFTC.gov

    http://www.cftc.gov/files/dea/history/deacot2000.zip
    ...
    http://www.cftc.gov/files/dea/history/deacot2009.zip

    and put data in table cot_report

    4. You must put in cot_datafeed table data. For example
    contract_code datafeed_code
    232741 6A
    096742 6B
    090741 6C
    099741 6E
    097741 6J
    095741 6M
    092741 6S
    033661 CT
    098662 DX
    13874A ES
    ...
    and so on.

    5. You must install .Net connector for MySQL
    http://dev.mysql.com/downloads/connector/net/5.2.html

    6. You must write in References
    C:\Program Files\MySQL\MySQL Connector Net 5.2.7\Binaries\.NET 2.0\MySql.Data.dll;
    C:\WINDOWS\Microsoft.NET\Framework\v2.0.50727\Syst em.Data.dll;

    7. You must import MTDcot indicator

    That's all.

    It is source code for indicators with trial access (1 month) to my mysql.
    Attached Files
    Last edited by idolzhenko; 08-13-2009, 05:43 AM.

    Leave a comment:


  • wuolong
    replied
    Looks very cool. Where can we download it? Thanks!


    Originally posted by idolzhenko View Post
    I made COT for NT. It used my mysql server with datas from CFTC.gov

    Leave a comment:


  • idolzhenko
    replied
    I made COT for NT. It used my mysql server with datas from CFTC.gov
    Attached Files

    Leave a comment:


  • Elliott Wave
    replied
    Finally an open-code COT indicator has been released for NT.

    It's still in need of some work, but anyone following this thread should check it out (and contribute testing and coding if you can).

    http://www.ninjatrader-support2.com/...9786#post99786

    Leave a comment:


  • evensteven
    replied
    COT indicator by Larry Williams

    Jr, I am most interested in the one used by Larry. That is what got me started on the COT to begin with. If you have an indicator programmed that works like the one Larry Williams uses, please let me know. If you rent it out on a monthly basis, then let me know the price and where to go to get hooked up. Thank you.

    Leave a comment:


  • rretch
    replied
    Originally posted by cunparis View Post
    Thank you for the link. The article is very interesting, it will take me some time to study it and see if I can do some tests. What I get is to look for divergence. Trend up & OI down. This could be programmed using a simple moving average and comparing the slopes.
    i'd be up for helping you test it out....just let me know. Just to let you know though, i don't know one thing about programming.

    -robert

    Leave a comment:


  • cunparis
    replied
    Originally posted by rretch View Post
    No, I haven't been able to backtest this (due to the application)...but this may explain it more precisely:

    http://www.investopedia.com/articles.../02/110602.asp
    Thank you for the link. The article is very interesting, it will take me some time to study it and see if I can do some tests. What I get is to look for divergence. Trend up & OI down. This could be programmed using a simple moving average and comparing the slopes.

    Leave a comment:


  • rretch
    replied
    Originally posted by cunparis View Post
    Have you done any backtesting to test this theory?

    When a contract is written there is one party bullish and the other bearish.
    So if the dollar is rising and open interest is rising we could say there are more bearish (and bullish) people entering the game.
    Commercials usually sell while price is going up until they eventually cap the rally, with speculators taking the other side. So the increase in open interest could be considered a negative thing.

    I haven't studied it at all, mostly because most data providers don't have it. It'd be interesting to do some backtesting.
    No, I haven't been able to backtest this (due to the application)...but this may explain it more precisely:

    http://www.investopedia.com/articles.../02/110602.asp

    Leave a comment:

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