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COT indicator Ninja Trader?


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COT indicator Ninja Trader?

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  #1 (permalink)
Pitea, BD, Sweden
 
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Which is the best COT (Commitments of Traders) indicator for Ninja Trader?

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I'm searching for a NT COT feed, too. Did you ever find anything?

Thanks,

Aventeren

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aventeren View Post
I'm searching for a NT COT feed, too. Did you ever find anything?

Thanks,

Aventeren

IQFeed has it. That should mean Kinetick has it as well. It's a symbol.

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  #4 (permalink)
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Big Mike View Post
IQFeed has it. That should mean Kinetick has it as well. It's a symbol.

Mike

Thanks, Mike; I'll look into it and see if the data is there. I will then code up a Larry Williams COT indicator for others to use and explore.

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No joy. (I know Mike has already seen this, so no need to respond, Mike...)


Quoting 
Hello Aventeren,



Thank you for writing in today and interest in Kinetick: NinjaTrader's preferred market data provider.



Kinetick does not currently support CFTC COT data. It is our intent to add exchanges as demand warrants it. We have noted your request and hopefully we can add support these exchanges going forward.



Please let me know if I can provide any further assistance.





Sincerely,
Kelli
NinjaTrader Customer Service


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  #6 (permalink)
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My understanding is that Commitment of Traders numbers are only released once a week. So it should be possible to enter them into an indicator manually without getting them from your data provider.

Might make more sense to track it in a spreadsheet outside of Ninjatrader.

Commitments of Traders - CFTC

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  #7 (permalink)
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Quandl has COT data for free
Commitment of Traders - E-mini S&p 500 Stock Index - Futures Only - Legacy Format (CFTC) - Data and Charts from Quandl

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  #8 (permalink)
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Zondor View Post
My understanding is that Commitment of Traders numbers are only released once a week. So it should be possible to enter them into an indicator manually without getting them from your data provider.

Might make more sense to track it in a spreadsheet outside of Ninjatrader.

Commitments of Traders - CFTC

Thanks for chiming in, Zondor. I don't think a data feed is necessary--especially given the fact that the Excel spreadsheets are posted on the CFTC's COT site--so the data is there...it's just in an Excel format.

I've been trying to come up the curve of importing Excel data into an array that I could then access for plotting. But nearly all of the Excel examples are associated with exporting NT data into Excel--and not the other way around. I have asked for a bit of help on the Dioynsus Xmas Present Thread, in which case I will create an indicator to grab the COT data from the COT's Excel files...and then we should be in business. It won't be pretty, but it should be able to grab all of the raw COT report data values for analysis and interpretation.

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  #9 (permalink)
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Thanks for sharing the Quandl link, NoiseTrader. They have a bunch of interesting data.

Because I have no freaking idea on how to import web data into NT7 (using .NET), I'm going to start with grabbing the CFTC's COT data directly from the CFTC's Historical Compressed Site, and then populating NT DataSeries values that we can then use to run analysis on.

If I was a better .NET programmer, I'd figure out how to pull the data directly from the CFTC's website (and not have to go through the extra step of downloading the Excel file from the CFTC's site first). Maybe I'll get there at some point, but I'm not there now, so I'm just going to hatchet this thing now, as I'm just interested in getting the data in NT for backtesting purposes.

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aventeren View Post
Thanks for sharing the Quandl link, NoiseTrader. They have a bunch of interesting data.

Because I have no freaking idea on how to import web data into NT7 (using .NET), I'm going to start with grabbing the CFTC's COT data directly from the CFTC's Historical Compressed Site, and then populating NT DataSeries values that we can then use to run analysis on.

If I was a better .NET programmer, I'd figure out how to pull the data directly from the CFTC's website (and not have to go through the extra step of downloading the Excel file from the CFTC's site first). Maybe I'll get there at some point, but I'm not there now, so I'm just going to hatchet this thing now, as I'm just interested in getting the data in NT for backtesting purposes.

If you want to explore using R, it's quite simple with their library. You can then export as CSV and import into NinjaTrader.



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  #11 (permalink)
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Big Mike View Post
If you want to explore using R, it's quite simple with their library. You can then export as CSV and import into NinjaTrader.



Mike

Yeah, Quandl is impressive.

Do they have historical futures pricing--and if so, is it tick, minute, hour, day, week, month, year or what? I did a cursory search, but I wasn't able to find any.

If I was able to find some, maybe I would add this data to the relevant tick/data sharing threads, i.e., ES, CL, GC, ZW, ZC, etc.

...and R...oh R...I've avoided going down that rabbit hole just yet. Perhaps in the future...

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  #12 (permalink)
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...I just looked at the Quandl stuff in more detail. Holy balls they have a TON of futures historical data!

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Leo123 View Post
Which is the best COT (Commitments of Traders) indicator for Ninja Trader?

I´m using this one

COT Report

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  #14 (permalink)
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@Big Mike--

I started down the R rabbit hole this weekend. What are the 2 or 3 most important R libraries that you're using and that I should learn? My goal here is to build a COT solution for futures.io (formerly BMT) users that will be free so we don't have to pay for an indicator that is based on free data.

Side note, R is super intuitive.

Thanks,

Aventeren

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Big Mike View Post
If you want to explore using R, it's quite simple with their library. You can then export as CSV and import into NinjaTrader.



Mike

Mike, would you be willing to provide me with one example of how you would pull the COT data for a given contract into R and then output that data as a CSV file using R? If I can get the CSV files, I can then build a NT indicator to use StreamReader to read the CSV data.

For example, the GC COT Legacy data here: https://www.quandl.com/CFTC/GC_F_L_ALL-Commitment-of-Traders-Gold-Futures-Only-Legacy-Format. I then clicked under the "Export Data" "CSV" and copied the link into a browser: https://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&trim_end=2014-08-26&auth_token=CKXfNt-eC7DhzMaxHXxJ&collapse=weekly.

Just like we have various tick sharing threads, we could then have a COT thread whereby new data is uploaded each week for various markets--which I will take on as soon as I can cobble this all together (i.e., Quandl to R, R to CSV, CSV to NT indicator/plot).

Thanks,

Aventeren

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aventeren View Post
Mike, would you be willing to provide me with one example of how you would pull the COT data for a given contract into R and then output that data as a CSV file using R? If I can get the CSV files, I can then build a NT indicator to use StreamReader to read the CSV data.

For example, how would one use R to pull all available COT data for CL and then output that data as a CSV file to a given location? The Quandl code for GC is CFTC/MW_FO_ALL.

Just like we have various tick sharing threads, we could then have a COT thread whereby new data is uploaded each week for various markets--which I will take on as soon as I can cobble this all together (i.e., Quandl to R, R to CSV, CSV to NT indicator/plot).

Thanks,

Aventeren

I've not used Quandl before, but I am sure it's easy. You might bypass using R for this though, and just make the WebRequest in C# from NinjaScript. I would imagine it's just going to return a CSV data set from quandl. Maybe @Nicolas11 can confirm, I believe he has used Quandl before.

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Big Mike View Post
I've not used Quandl before, but I am sure it's easy. You might bypass using R for this though, and just make the WebRequest in C# from NinjaScript. I would imagine it's just going to return a CSV data set from quandl. Maybe @Nicolas11 can confirm, I believe he has used Quandl before.

Mike

A web request is my preferred route, but I don't have any examples to hack. Do you know of any NT web request indicators that I could use as a foundation to build this upon?

Man I feel like I'm close...I have the data...I just need to get it into NT.

I did figure out how to use R to pull the COT data--as well as just downloading the CSV file from Quandl. For instance, here is the legacy COT data for GC: https://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&trim_end=2014-08-26&auth_token=CKXfNt-eC7DhzMaxHXxJ&collapse=weekly. Now I just need to figure out how to get access this data in NT, at which point I can build lists or an array to plot the data within NT.

Thanks for your help. My hope is that this exercise will benefit more folks than just myself.

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aventeren View Post
Do you know of any NT web request indicators that I could use as a foundation to build this upon?

c# - how to read a csv file from a url? - Stack Overflow

Just look for WebRequest examples, and parsing a CSV is common.

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Hi,

I cannot really help.
The only things I have done in that thread is:
- read Quandl from R and store as CSV,
- Web request from Java

Nicolas

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Update:

So I've successfully grabbed the legacy COT data from Quandl and decoded into into string lists.

Next up: Convert list string elements to ints, assign to plots, plot.

I'm going to initially focus on 1 or 2 instruments but my plan is for the indicator to work for a number of instruments.

Thanks for the hint towards web pulls...that was key.

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Hi @aventeren

need free cot indicator - NinjaTrader Support Forum

and from vendor
COT Indicator - Littlefish FX

discalimer: Not affiliated with any above mentioned
Just searched and found


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  #22 (permalink)
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learning0101 View Post
Hi @aventeren

need free cot indicator - NinjaTrader Support Forum

and from vendor
COT Indicator - Littlefish FX

discalimer: Not affiliated with any above mentioned
Just searched and found


Yeah I've seen both of those posts...the first one was converted into a $160 paid indicator.

The second one is just pointing to this paid indicator.

I'm trying to do something for free that we can all use.

Thanks for chiming in. I appreciate it.

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  #23 (permalink)
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I wouldn't just dismiss the charting quandl has itself.
Making this in ninja wouldn't be trivial
Commitment of Traders - Gold - Futures Only (CFTC) - Data and Charts from Quandl
Being able to click on and off the various aspects of the COT is pretty slick.

I love ninja but life is easier if you don't try to have one application do everything.

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NoiseTrader716 View Post
I wouldn't just dismiss the charting quandl has itself.
Making this in ninja wouldn't be trivial
Commitment of Traders - Gold - Futures Only (CFTC) - Data and Charts from Quandl
Being able to click on and off the various aspects of the COT is pretty slick.

I love ninja but life is easier if you don't try to have one application do everything.

My reason for moving the data into NT is so that I can backtest ideas at scale, which I can't do without bringing the values into NT.

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According to the Quandl API page, there is a .NET api.

https://github.com/QuantConnect/Quandl.NET

I didn't look to see what version of .NET. If it's more than 3.5 then I believe it won't work with NT7. But otherwise...

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Big Mike View Post
According to the Quandl API page, there is a .NET api.

https://github.com/QuantConnect/Quandl.NET

I didn't look to see what version of .NET. If it's more than 3.5 then I believe it won't work with NT7. But otherwise...

Mike

Not a bad idea...however if wrapping the code around this .NET API meant that everyone would need to download the .NET API, I don't think it would work very well. But hell, who knows...maybe it would be.

Right now I'm stuck on the dumbest thing: how to convert a List<string> that contains string elements that are formatted as "XXXX.0". I need to:

1. Parse the ".0"
2. Convert the parsed value to an Int 32
3. Add the parsed Int32 value to a new List

If I can do this, I'm in the barn...but I can't get the damn gate open. It should be easy, but it's been a long day.

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I made great progress this AM. I've now successfully pulled the legacy COT info from a Quandl web request and then converted the information into dates and values. I'm able to print this info to the Output Window--so I have successfully completed part 1 of pulling the COT data into NT.

Next up will be matching dates and bars to assign the correct COT values to each bar--and then assign the correct values to plots and plot the info. Almost there.

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  #28 (permalink)
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Howdy--

I finished my COT indicators, and I posted them in the Elite section under a new thread call Commitment of Trader's ("COT") Report: NT Tools and Discussion. I chose to make the indicators Elite only so as to help out futures.io (formerly BMT), which has been a big part of my journey.

Thanks for everyone's help on this thread.

All best,

Aventeren

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  #29 (permalink)
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@ gomi- do you think you could make an indicator using your COT from your GomVolumeLadder? I think it may be very beneficial to see them as bars above and below a zero line.

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  #30 (permalink)
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Hi,

The HighCOT and LowCOT can be accessed as properties.
See the GomVoluleLadderIndicators

Attached Files
Register to download File Type: cs GomVolumeLadderIndicators.cs (10.3 KB, 120 views)
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gomi View Post
Hi,

The HighCOT and LowCOT can be accessed as properties.
See the GomVoluleLadderIndicators

gomi ROCKS!!!

Merci beaucoup

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gomi View Post
Hi,

The HighCOT and LowCOT can be accessed as properties.
See the GomVoluleLadderIndicators

Hi Gomi,

thanks so much for all your great work and sharing so generously. Your indicators and the discussions around them have been extremely helpful for me.

Cheers

elyt

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  #33 (permalink)
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Experience: Intermediate
Platform: NT, AmiBroker
Trading: 6E
 
Posts: 33 since Oct 2010
Thanks: 9 given, 6 received

This is really fantastic - being able to easily pull these numbers from the GVL. Thanks, Gomi!

- Gordon

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  #34 (permalink)
Philadelphia, PA, USA
 
Experience: Intermediate
Platform: NT, AmiBroker
Trading: 6E
 
Posts: 33 since Oct 2010
Thanks: 9 given, 6 received

Incidentally, I have compiled this indicator and placed it on a chart that already had the GomVolumeLadder on it. I did not get any plots. The data was historical - I was not connected live at the moment. I see that the indicator accounts for if (Historical) - so doubt that was it.

If there are any steps required to get the plots I would appreciate knowing about them. I am attaching a screen shot. Thanks!



Regards,

Gordon

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  #35 (permalink)
Denver
 
Experience: Advanced
Platform: NinjaTrader
Trading: Currency Futures
 
Posts: 11 since May 2011
Thanks: 3 given, 5 received

Gomi's Price Ladder calculates the COT for each bar.

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  #36 (permalink)
London
 
Experience: Beginner
Platform: MultiCharts
 
Posts: 240 since Nov 2010
Thanks: 10 given, 23 received

Do you mean that from
GomVolumeLadder
you could get the value of
Commitments of Traders - CFTC
like do this indicator
COT Report
?

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  #37 (permalink)
Frankfurt, Germany
 
Experience: Beginner
Platform: NinjaTrader
Trading: Futures
 
Posts: 28 since Sep 2012
Thanks: 18 given, 5 received

Hello everybody,

Ninjatrader decided to release a CoT indicator for free.
You can find it at their support forum:

https://www.ninjatrader.com/support/forum/local_links.php?catid=7&linkid=1105


Kind regards,
Harvard

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  #38 (permalink)
Wichita
 
 
Posts: 1 since Nov 2016
Thanks: 1 given, 0 received

@Harvard, did NT remove the COT indicator? I don't see it at the link you posted

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  #39 (permalink)
Frankfurt, Germany
 
Experience: Beginner
Platform: NinjaTrader
Trading: Futures
 
Posts: 28 since Sep 2012
Thanks: 18 given, 5 received

You are right. They changed the link. Unfortunately I don't find the new link on their website. Please contact the support of Ninjatrader and ask for the free CoT-Indicator for Ninja8.

Kind regards

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  #40 (permalink)
Frankfurt, Germany
 
Experience: Beginner
Platform: NinjaTrader
Trading: Futures
 
Posts: 28 since Sep 2012
Thanks: 18 given, 5 received

Did the support sent you an answer?

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  #41 (permalink)
Frankfurt, Germany
 
Experience: Beginner
Platform: NinjaTrader
Trading: Futures
 
Posts: 28 since Sep 2012
Thanks: 18 given, 5 received

Ninjatrader doesn't offer the free version anymore. If somebody want to use a CoT-Indicator, he has to purchase the indicator from a license partner now. :fruisty:

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