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Most recent open interest reports - computer readable

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Most recent open interest reports - computer readable

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  #1 (permalink)
London Trader
London, UK
Posts: 38 since Jul 2015
Thanks: 11 given, 11 received

Hi all

I'm trying to pilot an automated trading platform and I'd like to extend it to use OI.

Two good sources of OI:

Commitments of Traders - CFTC
Daily Exchange Volume and Open Interest

What I was hoping for is something like the CFTC format and regularity of CME daily releases. CFTC seem to have only old data, and CME have it as non-standard Excel & web pages based on templates that could change layout without notice. Neither of these are ideal. If I want reliability do I need to pay for it or is there a good free source?


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  #3 (permalink)
 Big Mike 
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Check quandl and FRED

For a working example, check here:

He scrapes for COT data and then plots it inside NinjaTrader.


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