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

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

Thanks,

Aventeren

aventeren 

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.

Mike

Big Mike 

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.

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

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

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

Zondor 

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.

NoiseTrader716 

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

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.

aventeren 

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.

Quandl (www.quandl.com) A nice free resource: Quandl for Investors - Quandl ( They also have an R package. What is Quandl? Quandl is a repository of time-series data on the internet, tailored for active investors and finance professionals. Why should I use Quandl? Quandl …

Mike