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.
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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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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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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...
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.
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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.
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).
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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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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.
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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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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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@ 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.
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!
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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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:
