Most recent open interest reports - computer readable

November 13th, 2015, 07:01 PM

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?

Thanks!

November 13th, 2015, 10:58 PM

Check quandl and FRED

For a working example, check here:

Commitment of Traders ("COT") Report: NinjaTrader Tools and Discussion

Howdy--

So I've been working on figuring out a way to bring the free CFTC COT data into NT, which doesn't offer the COT data via the standard data feed. I've found other COT indicators for $150+ and also a COT feed via IQFeed for $25/mo, …

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

Mike

Most recent open interest reports - computer readable

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Most recent open interest reports - computer readable