Cftc sistema de relatórios de grandes traders

头寸 限制 、 头寸 责任 以及 大户 申报 要求.

委员会 美国 商品 期货交易 委员会 (Comissão de Operações de Futuros de Commodities dos EUA, CFTC) (reporting 监管 芝 芝 芝 交易所 交易所 交易所 规则 ， ， ， 期货 期货 经纪商 (FCM) 机构 外国 经纪商 、 以及 综合 申报 机构 (Empresas prestadoras de serviços) 必须按照 要求 申报 市场 数据 和 头寸 信息 ， ， ， ， ， 参与者 参与者 遵守 遵守 交易所 头寸 头寸 限制 和 和 头寸 责任 水平。

102 ： ： ： 的 的 的 参与者 参与者 的 通过 通过 102 表格 提供。 该 表格 中 中 应 提供 的 的 的 包括 账户 账户 拥有 控制 控制 / 控制 人 的 的 的 的 、 、 指明 帐户 帐户 是 为 非 非 / 非 商业 用途 与 与 指明 是 公司 或部 综合 账户 、 、 类型 、 、 交易 的 等 等 2 2 2 2 2 2 2 部 部 部 部 部 部 部 部 部 部 部 部 部 部 部 部 部 部 Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market Market (((((((((((( 。。 它 使得 使得 市场 监管 部 能够 能够 公司 内部 内部 和 跨 公司 之间 的 的 关系 关系 关系 ， ， 头寸 市场 监管 申报 负责 大户 的 的 的 的 的 的 能够 能够 能够 控制 控制 控制 控制 控制 所有权 所有权 所有权 头寸 头寸 ： ： ： ： ： 市场 参与者 在或 公司 帐户 上 持有 某一 期货 合约 （或 或 相应 的 的 的 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 或 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含 含每日 大户 持仓 进行 进行。 特别 账户 ： 特别 账户CFTC 被 交易所 识别 识别 的 的 称作 称作 称作 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 应 102 表格。 市场利用 部 利用 102 表格 上 提供 提供 的 的 作为 作为 大户 申报 申报 系统 的 的 的。 大户 申报 申报 ： ：: 市场 监管 部 用来 进行 进行 进行 市场 监督 监督 和 确保 遵守 遵守 交易所 对 对 头寸 头寸 限制 及 及 大户 大户 相关 相关 之 规则 的 的 的 工具 的 的 的

规则 的 商 规则 规则 规则 1 规则 规则 规则 规则 规则 规则 规则 规则 表格 表格 表格 表格 表格 表格 表格 表格 表格 表格 表格 表格 表格 (Limite de Posição, Responsabilidade de Posição e Tabela de Nível Reportável) 。 预先 设定 的 的 的。。。。。。。。。。。。。。 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 通告 Market Market Market Market Market 。

1. Clique aqui para exibir as opções abaixo. 102 102 102 102 102 表格。。 、 机构 机构 和 经纪商 经纪商 经纪商 在 在 一个 营业 日内 向 向 芝 商 所 提交 102 表格。 公司 通过 电子邮件 发送 102 表格: CMEGroupForm102 @ cmegroup 按 每日 按 FTP 文件 为 美国 中部 的 ： ：: C 点 C 、 CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT CT D) ， DME 产品 为 美国 中部 时间 (CT) 晚上 11 点 (或 美国 东部 时间 (ET) 则 是 凌晨 12 点)。 大户 持仓 文件 的 的 的 修改 或 任何 任何 其他 调整 调整 必须 在 美国 中部 时间 上午 8 点 （东部上午 上午 9 点 之前 之前 ， ， ， 调整 调整 基于 基于 基于 基于 网络 的 的 应 应用 应用 程序 程序 (Posição Reportable LargeTrader, LTRP) 来 进行. 一个 账户 达到 应 申报 状态 ， 达到 申报 状态 必须 申报 该 该 的 的 监管 提交 头寸 头寸 ， ， 中 中 合约 月份 月份 和 和 未 未 申报 申报 状态 的 的 的。 从 日常 监管 监管 提交 提交 的 的 的 中 中 获得 获得 的 的 的 的 的 的 的 数据 数据 经过 经过 处理 形成 一系列 全面 全面 的 电子 报告， 供 交易所 工作 人员 进行 内部 监控 所 用。

大户 申报 系统 - 综合 账户 申报.

Om 账户 机构 (Empresas omnibus) 须 按照 大户 申报 规定 向 芝 芝 商 所 提交 提交 提交 其 名下 所有 所有 大户 大户 申报 要求 的 的 的 的 的 的 大户 持仓 持仓。。 综合 综合 账户 机构 机构 将为 达到 申报 申报 要求 要求 的 的 的 的 提交 提交 提交 提交 提交 提交 提交 提交 提交 提交 提交Você pode usar essa informação aqui. Mais sobre o Autor

规则 商 所 规则 559.D (“头寸 汇总” / “Agregação de Posições”) 阐述 了 集合 集合 加 总 的 相关 内容 ， 规则 559.E. (“Exceções limitadas à agregação para posições independentes”) 对 账户 集合 汇总 的 的 情况 作出 了 要求。 “的“ ““ ““ ““ ““ Limited Limited Limited Limited 的 的 Limited 的 的 的 的 的 的 的 的 的 的

As informações contidas neste banco de dados são: Não. / (Traduzido por Google Translate) AINDA NÃO É UMA PERSPECTIVA? E. 的 要求 ， 则可 向 市场 监管 部 提交 请求 ， 以 寻求 批准 将 独立 独立 控制 的 的 的 的 进行 汇总 汇总。

限制 限制 (limites de posição)

限制 月份 头寸 限制 (Limites Mês Spot) 适用 于 特定 产品 ， ， ， 市场 参与者 参与者 可 可 持有 之 合计 头寸 在 在 交割 减少 减少 减少 量。。 现货 限额 限额 规定 规定 的 的 的 的 的 的 日期 产品 产品 产品 ， ， ， ， ， ， 参见 相关 相关 交易限制 规则 手册 具体 产品 章节。 减仓 限制 (Limites da Escala) 适用 于 特定 产品 ， ， 要求 市场 参与者 可 持有 持有 的 的 的 的 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后 最后Step 头寸 减少 (Limites Step Down) 限制。 单 月 头寸 限制 (Limites Mês Único) 适用 于 现货 月份 以外 任何 任何 单一 合约 合约 月份 持有 的 的 的。 市场 市场 参与者 参与者 的 的 的 农产品 农产品 农产品 农产品 农产品 的 的 的 的 年度 年度 年度 年度 年度 年度 年度(Ano de colheita) 内 作为 价差 交易 交易 组合 的 的 的 的 的 ， ， ， ， 超出 超出 所有 所有 月份 合计 持仓 限额 ， ， All All All 允许 允许 该 该 农产品 农产品 农产品 农产品 的 的 的 持仓 持仓 超出 这些 这些 限制。。 所有 月份 头寸 合计 限制 (Todos os Meses Limites Combinados ) 适用 于 市场 参与者 特定 产品 期货和 或 期权 合约 在 在 所有 到期 月份 的 加 总 头寸。

责任 责任 (posição de responsabilidade)

规则 商 所 规则 560 (“头寸 责任” / “Responsabilidade de Posição”) 要求 市场 监管 部 从 持仓 超出 相应 相应 产品 产品 头寸 责任 责任 水平 的 的 市场 参与者 参与者 处 获得 头寸 信息。。

规则 559.A. (“真实 保值 头寸” / “Bona Fide Hedging Positions”) 符合 市场 参与者 获取 限制 限制 ， ， 符合 符合 符合 CFTC 规则 1.3 (z) (1) 定义 的 真实 保值 用途。 规则 559.B. (“风险 管理 头寸” / “Posições de Gerenciamento de Risco”) 规则 市场 参与者 获取 持仓 限制 豁免 豁免 ， ， ， 可 可 证明 证明 该 该 头寸 是 用于 风险 管理 目 ； ； ； 规则 规则 559.C. (“套利 和 价差 头寸” / “Posições de Arbitragem e Spread”) 进一步 允许 市场 参与者 参与者 就 其 套利 套利 或 价差 头寸 获得 获得 持仓 限制 豁免。

As informações contidas neste banco de dados são não encontradas no, propriedades ou benefícios do CME. 而 套 保 组 索取 ， 而 NYMEX 和 COMEX 产品 的 的 的 保 保 申请 可 可 向 纽约 套 保 组 索取。

交易 申报 和 市场 监管 相关 法律 规范.

灾难 恢复 和 业务 连续性.

M 商 所 市场 监管 建议 通告 (MRANS)

芝 商 所 简介

（商 所 所 全球 最 最 最 最 多元化 的 的 品 市场 ， ， ， ， （（（Mercado de Contratos Designados 点击。 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击 点击的 信息。

Relatório Diário de Posição MP e Campos de Dados do Relatório Plus & amp; Definições

O relatório de posição do MP (participante de mercado), disponível via web e historicamente por assinatura, pode ser visualizado por emissão ou por participante de mercado para o pregão anterior.

Campos de dados específicos do problema & amp; Definições - página da web.

Solicitações por símbolo de problema retornarão uma lista de todos os participantes do mercado que têm um status dentro do problema solicitado.

C - Rede de Comunicações Eletrônicas (ECN) M - Registrador de Mercado Registrado NR - MP Não Registrada, geralmente apenas Entrada de Ordens.

A ou Ativo - Citando ou solicitando a participação do participante na edição. E ou Desculpa Negado - O participante do mercado solicitou a remoção temporária da questão para circunstâncias especiais, como feriado religioso, requisito de conformidade, falha do sistema, etc. Além disso, a ECN assume esse estado quando não tem tamanho no interior. . F ou funcionalmente desculpado - O status de um MP quando registrado em um problema do CQS e temporariamente não está citando o problema. (Somente para problemas do CQS.) S ou Suspenso - O participante do mercado foi suspenso da emissão. As suspensões são geralmente impostas pelo NASDAQ & reg; Operações de Mercado e ocorrem em todas as áreas em que um participante do mercado é registrado. W ou Retirado - O participante do mercado não deseja mais fazer um mercado no título específico, pelo menos por um período de tempo, e se retirou da cotação do título.

Campos de dados específicos do participante do mercado & amp; Definições - página da web.

Solicitações por participantes do mercado retornarão todos os problemas para os quais uma empresa possui um status.

C - Rede de Comunicações Eletrônicas (ECN) M - Registrador de Mercado Registrado NR - MP Não Registrada, geralmente apenas Entrada de Ordens.

A ou Ativo - Citando ou solicitando a participação do participante na edição. E ou Desculpa Negado - O participante do mercado solicitou a remoção temporária da questão para circunstâncias especiais, como feriado religioso, requisito de conformidade, falha do sistema, etc. Além disso, a ECN assume esse estado quando não tem tamanho no interior. . F ou funcionalmente desculpado - O status de um MP quando registrado em um problema do CQS e temporariamente não está citando o problema. (Somente para problemas do CQS.) S ou Suspenso - O participante do mercado foi suspenso da emissão. As suspensões são geralmente impostas pelo NASDAQ & reg; Operações de Mercado e ocorrem em todas as áreas em que um participante do mercado é registrado. W ou Retirado - O participante do mercado não deseja mais fazer um mercado no título específico, pelo menos por um período de tempo, e se retirou da cotação do título.

Campos de dados do relatório de posição específica da questão & amp; Definições - Download da versão do arquivo.

Solicitações por símbolo de problema retornarão uma lista de todos os participantes do mercado que têm um status dentro do problema solicitado.

Valores autorizados válidos em 3 de julho de 2006.

Q - Mercado Global Select NASDAQ SM G - Mercado Global NASDAQ SM S - Mercado de Capitais NASDAQ SM I - Outros Valores Mobiliários Listados em Bolsa.

Valores autorizados antes de 3 de julho de 2006.

Q - Mercado de Mercado NASDAQ & reg; S - NASDAQ SmallCap Market SM I - Outros Valores Mobiliários Cotados em Bolsa.

A ou Ativo - Citando ou solicitando a participação do participante na edição. E ou Desculpa Negado - O participante do mercado solicitou a remoção temporária da questão para circunstâncias especiais, como feriado religioso, requisito de conformidade, falha do sistema, etc. Além disso, a ECN assume esse estado quando não tem tamanho no interior. . F ou funcionalmente desculpado - O status de um MP quando registrado em um problema do CQS e temporariamente não está citando o problema. (Somente para problemas do CQS.) S ou Suspenso - O participante do mercado foi suspenso da emissão. As suspensões são geralmente impostas pelo NASDAQ & reg; Operações de Mercado e ocorrem em todas as áreas em que um participante do mercado é registrado. W ou Retirado - O participante do mercado não deseja mais fazer um mercado no título específico, pelo menos por um período de tempo, e se retirou da cotação do título.

C - Rede de Comunicações Eletrônicas (ECN) M - Registrador de Mercado Registrado NR - MP Não Registrada, geralmente apenas Entrada de Ordens.

Campos de dados do relatório de posição específica do MPID & amp; Definições - Download da versão do arquivo.

Solicitações por identificador de participante de mercado (MPID) retornará uma lista de todos os títulos onde o MPID tem um status registrado.

Valores autorizados válidos em 3 de julho de 2006.

Q - Mercado Global Select NASDAQ SM G - Mercado Global NASDAQ SM S - Mercado de Capitais NASDAQ SM I - Outros Valores Mobiliários Listados em Bolsa.

Valores autorizados antes de 3 de julho de 2006.

Q - Mercado de Mercado NASDAQ & reg; S - NASDAQ SmallCap Market SM I - Outros Valores Mobiliários Cotados em Bolsa.

A ou Ativo - Citando ou solicitando a participação do participante na edição. E ou Desculpa Negado - O participante do mercado solicitou a remoção temporária da questão para circunstâncias especiais, como feriado religioso, requisito de conformidade, falha do sistema, etc. Além disso, a ECN assume esse estado quando não tem tamanho no interior. . F ou funcionalmente desculpado - O status de um MP quando registrado em um problema do CQS e temporariamente não está citando o problema. (Somente para problemas do CQS.) S ou Suspenso - O participante do mercado foi suspenso da emissão. As suspensões são geralmente impostas pelo NASDAQ & reg; Operações de Mercado e ocorrem em todas as áreas em que um participante do mercado é registrado. W ou Retirado - O participante do mercado não deseja mais fazer um mercado no título específico, pelo menos por um período de tempo, e se retirou da cotação do título.

C - Rede de Comunicações Eletrônicas (ECN) M - Registrador de Mercado Registrado NR - MP Não Registrada, geralmente apenas Entrada de Ordens.

Campos diários de dados de relatórios MP Position Plus & amp; Definições - Download do arquivo.

O arquivo de download Daily MP Position Report Plus contém todos os problemas que todos os participantes do mercado tinham uma posição registrada em uma determinada data. Ele inclui todos os status de fim de dia para todas as posições de MP (ativo, suspenso, desculpado retirado, excluído, desculpido funcionalmente e suspenso funcionalmente) para todos os problemas relacionados à NASDAQ e à lista do Exchange.

Os primeiros quatro campos são as colunas dentro do arquivo de texto e os últimos seis campos são resumos localizados no final do arquivo.

Devido à grande quantidade de dados, o arquivo de download é fornecido em um arquivo compactado de extração automática (.exe). Dentro do arquivo compactado é um arquivo de texto ASCII delimitado por pipes (|). Esses arquivos são facilmente importados para aplicativos de planilhas e bancos de dados. Um ciclo de limpeza de dias (T + 1, T + 2, T + 3) estará disponível. Uma assinatura mensal será necessária para acessar esses dados.

Q - Mercado Global Select NASDAQ SM G - Mercado Global NASDAQ SM S - Mercado de Capitais NASDAQ SM I - Outros Valores Mobiliários Listados em Bolsa.

Ativo - Uma cotação ou ordem de entrada do participante na edição. Justificativa Retirada - O participante do mercado solicitou a remoção temporária da questão para circunstâncias especiais, como feriado religioso, requisito de conformidade, falha do sistema, etc. Além disso, a ECN assume esse estado quando não possui tamanho interno. Funcionalmente desculpado - O status de um MP quando registrado em um problema do CQS e temporariamente não está citando o problema. (Somente problemas do CQS.) Suspenso - O participante do mercado foi suspenso da emissão. As suspensões são geralmente impostas pelo NASDAQ & reg; Operações de Mercado e ocorrem em todas as áreas em que um participante do mercado é registrado. Suspenso Funcionalmente - O status de um MP quando registrado em um problema do CQS que está passando por uma Interrupção de Negociação. (CQS Issues Only.) Retirado - O participante do mercado não deseja mais fazer um mercado no título específico, pelo menos por um período de tempo, e se retirou da cotação do título.

C - Rede de Comunicações Eletrônicas (ECN) M - Registrador de Mercado Registrado NR - MP Não Registrada, geralmente apenas Entrada de Ordens.

Posição líquida altera dados.

As Variações da Posição Líquida do Grande Negociante e os Dados da Alteração da Posição Líquida da Conta de Negociação proporcionam ao público uma visão da quantia de negociação que resulta em alterações líquidas nas posições no nível do negociante e no nível da conta. Os dados refletem negociações que mudam ou criam uma posição de fim de dia, em contraste com a negociação que não altera a posição líquida do final do dia de um comerciante, como spread ou day trading. Esta divulgação de dados deve fornecer ao público, ao setor acadêmico e aos traders mais informações sobre a liquidez do mercado.

O CFTC está fornecendo os dados ao público em uma base única. Para mais detalhes sobre esses relatórios, consulte as notas explicativas que acompanham cada relatório.

Mudanças na Posição Líquida do Grande Negociante.

Os dados de alterações de posição líquida de grandes traders dependem do Sistema de Relatórios de Grandes Negociações (LTRS) da Comissão. Os dados identificam, para uma dada semana, as mudanças de posição líquida média diária para grandes negociadores em 27 mercados financeiros e oito futuros financeiros entre janeiro de 2009 e maio de 2011. O relatório também fornece valores para mudanças líquidas de posição usando as mesmas classificações de trader Compromissos Desagregados da Comissão de Comerciantes & rdquo; relatórios.

Os dados de alterações na posição líquida do negociador grande podem ser encontrados nesta pasta de trabalho do Excel ou em um arquivo de texto delimitado por vírgulas. Por favor, note que cada planilha se concentra em um contrato de futuros de commodities.

Medidas da Média de Alteração de Posição Líquida de Grandes Negociantes (PDF) são fornecidas em duas tabelas. Essas tabelas também incluem o volume de negociação médio, somente de futuros e juros em aberto.

Troca de posição líquida da conta de negociação.

Os dados da Alteração de Posição Líquida da Conta de Negociação baseiam-se em dados de transação fornecidos à Comissão pelas bolsas. Os dados mostram, para uma dada semana, a mudança de posição líquida média diária no nível da conta de negociação. Os dados cobrem 20 mercados financeiros e oito mercados financeiros futuros de abril de 2010 a maio de 2011.

Os Dados da Posição Líquida da Conta de Negociação podem ser encontrados nesta pasta de trabalho do Excel ou em um arquivo de texto delimitado por vírgulas.

Medidas da média da conta de negociação As alterações de posição líquida (PDF) são fornecidas em duas tabelas. Além de fornecer volume de negociação médio, somente de futuros e juros em aberto, essas tabelas também permitem que o leitor compare diretamente as duas medidas.

Programa de Relatórios Comerciais de Grande Porte.

A CFTC opera um sistema abrangente de coleta de informações sobre os participantes do mercado. De acordo com os regulamentos estabelecidos nas Partes 15, 16, 17, 18, 19 e 21 dos regulamentos do CFTC, a Comissão coleta dados de mercado e informações de posição de bolsas, membros compensadores, comissários de comissões de futuros (FCMs), corretores estrangeiros e comerciantes.

Para garantir a privacidade das informações que eles fornecem, a CFTC atribuiu números de relatórios confidenciais a empresas e comerciantes. A Comissão é proibida, de acordo com a Seção 8 do CEA 7 USC 12, de divulgar publicamente as posições, transações ou segredos comerciais de qualquer pessoa, exceto sob circunstâncias limitadas.

Entrada de posição para operadores reportáveis ​​(PERT Online)

Formato de registro de grande comerciante.

Limpando dados de membros.

Além de fornecer dados públicos sobre o volume negociado, contratos abertos, avisos de entrega de futuros, trocas de futuros por dinheiro e preços, sob a Parte 16 das regulamentações do CFTC, devem fornecer à Comissão informações confidenciais sobre as posições agregadas e atividade de negociação. para cada um dos seus membros de compensação.

A cada dia, as bolsas informam as posições abertas e curtas de cada membro de compensação, compras e vendas, trocas de futuros por dinheiro e avisos de entrega de futuros para o dia de negociação anterior. Esses dados são reportados separadamente por contas proprietárias e de clientes pelo mês futuro, e por opções de opções de compra e venda, data de vencimento e preço de exercício.

Um exemplo de limpeza de dados de membros para empresas fictícias A e B é dado na Tabela 1: Limpando dados de membros.

Tabela 1: Limpando dados de membros.

Chicago Board of Trade Dezembro 2001 Corn Future (em contratos) Data de publicação: 15/08/01.

O pessoal da Comissão utiliza dados como este para identificar as grandes posições desimpedidas nos mercados únicos ou em muitos mercados e bolsas, para auditar os relatórios de grandes operadores e para resolver qualquer problema de agregação de contas.

Os dados dos membros de compensação, no entanto, não identificam diretamente os proprietários beneficiários das posições. A posição agregada do cliente relatada para um membro de compensação pode representar um único comerciante ou vários comerciantes. Além disso, os dados não revelariam uma circunstância em que um único operador controla partes substanciais das posições dos clientes com mais de um membro de compensação e, portanto, poderia controlar uma parte substancial do mercado. Para resolver esta limitação na recolha de dados dos membros, o programa de fiscalização do mercado da Comissão utiliza dados de grandes comerciantes.

Dados de Grande Negociador.

De acordo com a LTRS da Comissão, os membros compensadores, FCMs e corretores estrangeiros (coletivamente chamados de firmas relatoras) arquivam relatórios diários com a Comissão sob a Parte 17 dos regulamentos do CFTC. Os relatórios mostram posições de futuros e de opções de operadores com posições iguais ou acima dos níveis de reporte específicos estabelecidos pela Comissão. Os níveis atuais de relatório são encontrados no Regulamento 15.03 (b) da CFTC.

Se, no fechamento diário do mercado, uma empresa que relata possui um operador com uma posição igual ou superior ao nível de relatório da Comissão em um único vencimento ou mês de vencimento da opção, a empresa informa que toda a posição do trader em todos os contratos futuros e opções expirou. meses nessa mercadoria, independentemente do tamanho.

O agregado de todas as posições de grandes traders reportados à Comissão representa geralmente 70 a 90 por cento do total da participação aberta em qualquer mercado. O nível de relatório para relatórios de grandes traders pode variar de 25 contratos a mais de 1.000 contratos. O nível para qualquer mercado é baseado no total de posições abertas naquele mercado, no tamanho das posições detidas pelos negociadores no mercado e no tamanho dos fornecimentos de fornecimento para os mercados de entrega física.

A Comissão tem o poder discricionário de aumentar ou diminuir os níveis de relatórios em mercados específicos para encontrar um equilíbrio entre coletar informações suficientes para supervisionar os mercados e minimizar a carga de relatórios sobre os comerciantes que são reportáveis.

Os dados agregados referentes às posições reportadas são publicados pela CFTC em seus relatórios semanais de Compromissos de Comercialização. Os dados são agregados para proteger a identidade de qualquer comerciante reportável individual.

Uma vez que os operadores transportam frequentemente posições de futuros através de mais de uma corretora e de controlo ou têm interesses financeiros em mais do que uma conta, a Comissão recolhe rotineiramente informações que permitem agregar contas relacionadas.

Especificamente, as empresas relatoras devem apresentar um Formulário 102 da CFTC (PDF - 69 KB): Identificação de "Contas Especiais" para identificar cada nova conta que adquira uma posição reportável (essa forma também é usada pelas bolsas de futuros com seus próprios sistemas de relatórios de grandes traders). Além disso, uma vez que uma conta atinja um tamanho reportável, a Comissão pode entrar em contato diretamente com o comerciante e exigir que o profissional registre um relatório de identificação mais detalhado, um Formulário 40 da CFTC: Declaração de Negociador de Relatórios (PDF - 256 KB). 17 CFR Parte 18.

Os formulários 102 e 40 da CFTC permitem que a CFTC identifique o nome e endereço da conta, a pessoa que controla a negociação, a pessoa a entrar em contato com relação à negociação, a natureza da conta (por exemplo, se é uma conta coletiva para outra corretor ou uma conta individual), se a conta relatada está relacionada - por interesse financeiro ou controle - a outra conta e à ocupação principal ou negócio do proprietário da conta. Os formulários também mostram se a conta está sendo usada para proteção contra a exposição do mercado à vista. Em caso afirmativo, indica quais mercados de futuros / opções são usados ​​e quais atividades de merchandising ou marketing estão envolvidas.

O pessoal da CFTC usa essas informações para determinar se a conta relatada é um novo operador ou se é uma conta adicional de um comerciante existente. Se a conta for adicional a um comerciante existente, ela será agregada com a de outras contas relacionadas atualmente sendo informadas.

O CFTC usa vários meios para garantir a precisão dos dados do seu grande comerciante. As posições do grande negociador relatadas pelos membros de compensação são comparadas com os dados dos membros de compensação reportados pelas bolsas. Um inquérito é feito para a troca apropriada se:

a soma das posições do grande negociador de um membro de compensação excede a posição aberta do membro; ou um membro de compensação tem uma posição liberada muitas vezes o nível de relatório para um determinado mercado, mas reporta poucas ou nenhuma posição de grande negociador.

O mesmo procedimento é usado para comparar dados de grandes traders relatados por FCMs de compensação e corretores estrangeiros com o total de posições que eles estão carregando em outros corretores ou membros de compensação. As empresas relatoras também estão sujeitas a auditorias no local pela equipe de intercâmbio e da CFTC.

Um exemplo de dados de grandes traders para três traders fictícios é dado na Tabela 2: Dados de Grandes Negociadores.

Tabela 2: Dados de Grandes Negociadores.

Chicago Board of Trade Dezembro 2001 Corn Future (em contratos) Data de publicação: 08/05/01.

Posição Aberta Líquida.

Nos termos da 17 CFR Parts 18 ou 21, a CFTC também tem autoridade para exigir que um trader forneça informações adicionais sobre os traders de uma empresa e / ou sobre a atividade de negociação e entrega de um participante, incluindo informações sobre pessoas que controlam ou têm um interesse financeiro na conta.

Este método de obtenção de dados de grandes traders não é usado com freqüência. No entanto, é útil quando um comerciante está negociando através de um número de empresas que reportam e há uma preocupação de que o processo normal de coleta de dados está faltando alguma informação importante.

Dados de posição de caixa.

Nos vários mercados com limites de posições especulativas federais (grãos, complexo de soja e algodão), os hedgers que detêm posições superiores a esses limites devem apresentar um relatório mensal à Comissão nos termos da Parte 19 dos regulamentos do CFTC.

Formulário 204 da CFTC: Declaração de posições em dinheiro em grãos e formulário 304 da CFTC: Demonstração de posições em dinheiro no algodão mostram as posições do trader no mercado à vista.

Por exemplo, no mercado de algodão, comerciantes e revendedores registram semanalmente o relatório Form 304 da CFTC sobre suas posições de caixa a preço fixo, que é usado para publicar um relatório semanal Cotton On Call, um serviço para a indústria de algodão. O relatório de Algodão On-Call mostra quantas compras e vendas de algodão a preço fixo estão pendentes em relação a cada mês futuro de algodão.

MetaCOT 2 CFTC ToolBox (Conjunto de Indicadores) MT4 - indicador para MetaTrader 4.

Disposições gerais.

MetaCOT 2 CFTC ToolBox Indicators é um conjunto de indicadores que analisa relatórios CFTC (US Commodity Futures Trading Commission) e permite traçar gráficos COT, D-COT, TFF e CIT diretamente na plataforma MetaTrader. Estes indicadores estão disponíveis nos códigos-fonte, no entanto, o seu trabalho requer bibliotecas especiais MetaCOT 2 CFTC MT5 ToolBox.

O MetaCOT 2 CFTC ToolBox suporta os seguintes tipos de relatórios CFTC:

COT - Compromissos dos Comerciantes. Este é um tipo padrão de relatórios que tem a maior profundidade da história, desde 1989. Este tipo de relatório sai para uma ampla gama de futuros, incluindo futuros de commodities (commodities), futuros de moeda (moedas), futuros sobre energia (gás, petróleo), futuros financeiros (obrigações, índices) e outros derivados. É feito em duas versões: com as posições de opções dos participantes (futuros e opções) e excluindo posições de opções (somente futuros). D-COT - COT Dissagregado. Esse tipo de relatório é uma representação avançada de relatórios COT. Inclui grupos mais específicos de comerciantes. Relatórios deste tipo são publicados desde 2011 e estão disponíveis apenas para mercados futuros de commodities (commodities, gás, petróleo, metais). É feito em duas versões: com as posições de opções dos participantes (futuros e opções) e excluindo posições de opções (somente futuros). TFF - Traders in Financial Futures. Esse tipo de relatório é análogo ao D-COT projetado para futuros financeiros. Ele divide os participantes do mercado em grupos mais específicos de traders em comparação com o relatório padrão de COT. Além disso, como outros relatórios, está disponível em duas versões: com as posições de opções dos participantes (futuros e opções) e excluindo posições de opções (somente futuros). CIT - Suplemento ao Trader de Índice de Commodity. Relatório do sentimento dos traders de commodities do índice. Um tipo específico de relatório, reminiscente do relatório COT clássico, mas inclui as posições dos traders do índice. Este tipo de relatório leva em consideração as posições das opções dos negociadores. LRGST - Maiores posições. O COT relata que, além dos dados sobre as posições dos negociadores, também contêm dados adicionais sobre as posições dos principais participantes do mercado como uma porcentagem dos juros em aberto (o número total de contratos em aberto). Esses dados não são um tipo separado de relatório. Ele tem uma estrutura diferente e é analisado no MetaCOT 2 como um tipo de relatório separado.

Para cada um dos tipos de relatórios suportados, os seguintes indicadores são plotados:

Posição Absoluta - posições absolutas dos participantes do mercado. O tipo de dados básico para todos os indicadores. É uma base de todos os outros indicadores, como as posições líquidas do grupo de negociadores ou Índice COT. Mudanças Absolutas - mudanças semanais nas posições líquidas dos negociadores. Este valor contém todos os tipos de relatório na coluna "Alterações nos Compromissos". O indicador permite contar as alterações para qualquer número de semanas, além de fornecer resultados na forma de alterações líquidas nos contratos e na forma de alterações percentuais. Posições Netto - exibe as posições líquidas dos negociadores. Disponível para todos os tipos de relatórios. Baseado na posição absoluta do MetaCOT 2. Netto Changes - semelhante ao MetaCOT 2 Absolute Changes, calcula apenas as mudanças nas posições líquidas dos traders. O indicador permite contar as alterações para qualquer número de semanas, além de fornecer resultados na forma de alterações líquidas nos contratos e na forma de alterações percentuais. Índice COT - oscilador clássico que mostra seus valores variando de 0 a 100. Os valores de 0 a 20 e 80 a 100 são considerados extremos e indicam uma possível mudança na tendência. Para cada tipo de relatório, esse indicador é chamado de forma diferente: 'Índice COT' para os relatórios COT. «D-COT Index» para o COT dissagregado, «TFF Index» para o TFF, «CIT-Index» para os relatórios do CIT. Willco - Williams Commercial Index - índice comercial de Williams. Este indicador foi proposto por Larry Williams e é uma modificação mais avançada do índice COT. Ele leva em conta não apenas os níveis históricos dos negociadores de posição do grupo, mas também os compara com o volume geral de mercado (juros em aberto). Assim, os valores obtidos são mais precisos e não estão sujeitos às flutuações inerentes a um mercado fino e sem liquidez. Esse indicador também é exigido nos mercados futuros estimados, uma vez que, no momento do vencimento, as posições são eliminadas, aumentando a necessidade de considerar o total de juros em aberto. Índice de Movimento - calculado com base no Índice COT ou Willco. É uma diferença simples entre o valor atual do Índice COT e o mesmo valor há 6 semanas (o valor padrão). Isso indica uma forte mudança nos sentimentos dos participantes do mercado, muitas vezes prevendo as reversões do mercado. Valores extremos para este indicador são considerados valores superiores a 40% pelo módulo, mas você pode definir outros níveis de limite.

Para cada relatório da CFTC, existem 7 indicadores principais, enquanto cada indicador existe em 5 versões, dependendo de um tipo de relatório. Abaixo está a tabela que mostra a correspondência entre o indicador e o tipo de relatório. Para algumas versões de indicadores, uma versão separada está disponível no Market. Nesse caso, o nome do indicador contém um link para uma versão separada. Caso contrário, este indicador só está disponível como parte desta biblioteca:

Installing the libraries and indicators.

For installation and proper operation of indicators, follow these steps:

Download a special tool to install and update reports MetaCOT 2 Install CFTC Reports MT5; With its help, install the reports to your computer. You can find the details on installing and working with the tool in a special blog (in Russian). Once all reports are installed, download and install a special data provider: MetaCOT 2 CFTC ToolBox Demo MT5. This library interacts with a database downloaded with the help of MetaCOT 2 Install CFTC Reports and provides access to the original CFTC data. This is the free version of the fully functional library: MetaCOT 2 CFTC ToolBox MT5. It provides the data with some delay. Place all the files attached to this page according to their location. Compile all indicators by selecting each folder with MetaCOT indicators in MetaEditor and clicking the "Compile" in the context menu:

After compilation, MetaCot 2 indicators appear in MetaTrader. You can run them on the chart. The data is displayed with some delay:

Remove the delay by installing the fully functional version of the library: MetaCOT CFTC MT4 ToolBox. Then perform one of two actions:

Option 1 : Use the file MQL4\Include\MetaCOT\VersionFull. mqh instead of MQL4\Include\MetaCOT\Version. mqh . To do this, delete Version. mqh and rename VersionFull. mqh to Version. mqh , or simply replace the contents of Version. mqh to VersionFull. mqh Option 2 : Open the Version. mqh file in MetaEditor. Comment the line #define METACOT_DEMO by putting two slashes at its beginning:

//| Copyright 2016, Vasiliy Sokolov |

#define VERSION "2.11"

//| Version of MetaCOT 2.0 |

double Version( void )

double ver = StringToDouble (VERSION);

After all the changes, recompile all the indicators again. To do this, repeat the point 5 of the installation procedure. Restart indicators. If done correctly, delays should disappear:

If for any reason, you are unable to upgrade to the full featured version, please contact me via the private messaging system: mql5/en/users/c-4.

Several indicators in one window.

All indicators of MetaCOT series designed in such a way that allows you to combine your data in one window and work with standard indicators. Besides, the following features are available apart from the standard functionality:

Several indicators can be displayed in one subwindow of the main chart; Data for each indicator can serve as a basis for calculation of other standard indicators.

For example, we will create two COT indices in one window and calculate the moving average for one of them:

Move COT-Index on the chart of gold using Drag-n-Drop. Run it with default parameters:

Move using Drag-n-Drop again, the indicator COT-Index on the chart of gold, in the region of the indicator, which was already built. Before running it, let's replace a group of traders with the net positions of unreported traders (Netto Nonreportable). Set Mirror mode to true . Choose green for the color. After the launch, we should get the following picture:

Now also use Drag-n-Drop to move the standard Moving Average to the first indicator plotting area. Select a dotted line as a plotting style. Select the "First Indicator's Data" as properties in the "Apply to" form. After the launch, the moving average will be calculated on the very COT index and displayed in the indicator window as a red dotted line:

Similarly, you can build other standard indicators using the MetaCOT data.

The RSI built on the net positions of operators of MetaCOT COT Netto Positions:

The Bollinger Bands based on net positions of operators of MetaCOT COT Netto Positions (dotted channel):

Get acquainted with the way of displaying multiple indicators in a single window in the following video:

Exporting CFTC reports to CSV format and Excel.

In addition to the indicators, MetaCOT 2 CFTC ToolBox provides the ability to export any data from any report in a text CSV file. This file then can be uploaded to a program for processing statistical information, for example Excel. Saving data to a file is performed by a special script MetaCOT 2 Indicators Save Values In File. It receives the value of one of the 34 MetaCOT indicators, and then saves them in a text file in CSV format. This utility has the following main parameters:

Type of CFTC Indicator - one of the 34 MetaCOT indicators whose values should be saved; Period (if used) - period of the indicator, if the indicator actually uses a period. For indicators which do not use period, for example for a COT Absolute Position, this parameter is ignored; Movement period (if used) - this parameter is used by Movement Index indicator, and indicators of changes (Absolute Changes and net Changes), which corresponds to the Difference Between the Two Reports . It shows the number of weeks between the current and the previous report. If the indicators (such as COT Index and Netto Position) do not use this parameter, it is ignored; Type of Mov. Index (if used) - type of Movement Index indicator. Only used in the Movement Index indicators.

Let's consider the practical problem: exporting COT-Index in Excel for further analysis:

Run the script Save the File In Indicators Values on the chart of a symbol you need; Select 'COT Index' in the 'Type of CFTC Indicator' parameter. The parameter 'Period' is left unchanged (equal to 52 weeks); Click 'OK'. In the working directory (MetaCOT\CsvReport), a new file appears with the report and indicator name:

(The folder location, where you are able to find the required file, corresponds approximately to the following: C:\Users\UserName\AppData\Roaming\MetaQuotes\Terminal\Common\Files\MetaCOT\CsvReport where UserName is your name in Windows OS).

Start Excel. Export a CSV file by selecting the Data tab and clicking the "From text" icon. The export wizard is launched. Choose the previously saved file. Specify a semicolon as a separator of columns.

If done correctly, the values of the 52 week COT Index should appear in the table:

The script saves all groups of participants in the corresponding columns simultaneously. Similarly, you can export to Excel any report CFTC as well as any indicator built on the basis of a report. For example, if you want to analyze the absolute position of the participants of the COT, select the CFTC COT Absolute Position in Type of CFTC Indicator and save the result.

The video below shows an example of data export net positions (Netto Position) members of COT in Excel:

All indicators are based on the same algorithm:

Filling a special structure CotBaseSettings for the formation of request data; Download the underlying report data through the library MetaCOT 2 CFTC ToolBox in the form of two arrays: date - value (datetime, double); The calculation of the indicator values based on the underlying data. All calculation algorithms are located in MetaCOT 2 CFTC ToolBox. mqh; Synchronization of calculated values with the current chart and data display on the chart.

Let us consider an example on the basis of MetaCOT 2 COT Index:

//| MetaCOT 2.0 - СOT Index. mq5 |

//| Copyright 2015, Vasiliy Sokolov. |

#property copyright "MetaCOT® 2009-2016, Vasiliy Sokolov, St.-Petersburg, Russia"

#property link "mql5/en/articles/1573"

#property version VERSION.

#property description "MetaCOT 2 is designed for analize CFTC reports, data mining and for fundamental analysis."

#property description "See article 'MetaCOT Project - New horizons for CFTC report analysis in MetaTrader 4'"

#property description "\nFor work this indicator need download and install 'MetaCOT - Install CFTC reports' tool."

#property indicator_buffers 1.

#property indicator_plots 1.

#property indicator_type1 DRAW_LINE.

#property indicator_color1 clrRed.

#property indicator_minimum - 10.

#property indicator_maximum 110.

#property indicator_level1 0 ;

#property indicator_level2 20 ;

#property indicator_level3 80 ;

#property indicator_level4 100 ;

#property icon "\\Images\\MetaCOT\\MetaCOT COT Index. ico"

input ENUM_COT_SOURCE Source = FUTURES_AND_OPTIONS; // Source of Report.

input ENUM_COT_NETTO_GROUP Group = COT_NETTO_OPERATORS; // Netto Group of Traders.

input int CotPeriod = 52 ; // Period of COT Index.

input string ProffSettings = "" ; // # PROFESSIONAL SETTINGS: #

input ENUM_COT_RELEASE_DAY ReleaseDay = COT_RELEASE_FRIDAY; // Release Day.

input ENUM_COT_DATA_TYPE DateType = COT_DATA_FUTURES; // Data Type.

input ENUM_COT_SUBGROUP SubGroup = COT_SUBGROUP_ALL; // Subgroup of Traders.

input bool AutoDetectReport = true ; // Auto Detect Report Name.

input string LoadReportName =

"WHEAT-SRW - CHICAGO BOARD OF TRADE" ; // Report Name (If Auto Detect=false)

input bool Mirror = false ; // Mirror Mode.

int prev_total = 0 ;

//| Custom indicator initialization function |

Sign = Mirror ? - 1 : 1 ;

SetIndexBuffer ( 0 , cot_values, INDICATOR_DATA );

IndicatorSetInteger ( INDICATOR_DIGITS , 0 );

// Configurable structure CotBaseSettings to obtain the desired data type.

string mmode = Mirror ? " (Mirror mode)" : "" ;

IndicatorSetString ( INDICATOR_SHORTNAME , MC_LABEL + " COT Index, " + ReportInfo. short_name + " " + EnumCotNetGroupToString(Group) + mmode);

// The obtained values of the indicator.

GetCotIndexValues(settings, CotPeriod, Group, ctimes, cvalues);

const int prev_calculated, // bars processed during the previous call.

const datetime & time[], // Time.

const double & open[], // Open.

const double & high[], // High.

const double & low[], // Low.

const double & close[], // Close.

const long & tick_volume[], // Tick Volume.

const long & volume[], // Real Volume.

const int & spread[] // Spread.

int total = ArraySize (cvalues);

if (prev_calculated == 0 )

ArraySetAsSeries (cot_values, false );

ArraySetAsSeries (time, false );

int limit = prev_calculated;

//Full recalculation in case new data is downloaded.

if (total != prev_total)

// Performed by synchronizing values with the current schedule.

for ( int i = limit; i < rates_total; i++)

if (ctimes[cindex] > time[i])

while (cindex+ 1 < total && time[i] >= ctimes[cindex+ 1 ])

cot_values[i] = 100.0 - cvalues[cindex];

return rates_total - 1 ;

Let us examine in detail how the calculation of the COT index is performed. It is calculated in two stages:

The net position of one of the groups of a COT report. Calculating the COT index based on the received data:

//| Get COT-Index values of COT report |

//| settings - base settings of cftc report |

//| group - group of trades |

//| times - time values of data |

//| values - group values |

bool GetCotIndexValues(CotBaseSettings& settings, int period, ENUM_COT_NETTO_GROUP group , datetime& times[], double & values[])

// The resulting net position of one of the groups of the COT report.

if (!GetCotNettoValues(settings, group , times, netto_values))

// Calculate the universal COT index on the obtained net positions.

return GetIndexValues(period, netto_values, values);

Calculating the COT index is represented by the GetIndexValues function (ToolBox. mqh file):

//| Calculate COT index on double array 'src_values' |

//| period - Period of COT Index |

//| src_values - Source double values |

//| ind_values - Values of COT Index |

bool GetIndexValues( int period, double & src_values[], double & ind_values[])

double max, min, index, curr;

int imax, imin, total = ArraySize (src_values);

ArrayResize (ind_values, ArraySize (src_values));

ArrayInitialize (ind_values, EMPTY_VALUE );

for ( int i = period - 1 ; i < total; i++)

imax = ArrayMaximum (src_values, i-period+ 1 , i);

imin = ArrayMinimum (src_values, i-period+ 1 , i);

index = ((curr-min)/(max-min))* 100.0 ;

return ArraySize (ind_values)> 0 ;

All other indicators of the MetaCOT2 series work the same way.

Analysis of 'Commitments of Traders' (COT) reports.

MetaCOT 2 COT Absolute Position.

The indicator of absolute positions shows the dynamics of the open positions or the number of traders in each participant groups of the classic COT report (Commitments of Traders). It includes the following groups:

Cumulative Open Interest of all market participants (Open Interest); Long position or the number of non-commercial traders (Non-Commercial Long); Short position or the number of non-commercial traders (Non-Commercial Short); Position of non-commercial traders or their number, that is covered (Non-Commercial Spread); Long position or the number of operators (Operators Long); Short position or the number of operators (Operators Short); Long position of non-reportable or small traders (Nonreportable Long); Short position of non-reportable or small traders (Nonreportable Short).

Below are the based indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Often the extreme values of one of the group members are the harbingers of the global market reversal. This indicator shows these values, indicating the potential reversals in the future. Find out more details on how to use this indicator in the book by Larry Williams: "Trade Stocks and Commodities with the Insiders: Secrets of the COT Report", and also in the article Meta COT Project - New Horizons for CFTC Report Analysis in MetaTrader 4.

Chart of COT report: absolute positions of the participants.

MetaCOT 2 COT Absolute Changes.

MetaCOT 2 Absolute Changes in Commitments shows the changes in the number of contracts held by the market participants. The information on the market participants and the number of contracts held by them is obtained from the COT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The data displayed by the indicator is available in the COT report itself, in the "Changes in Commitments" section:

The COT report: source format of the report.

Below are the indicator parameters and their descriptions:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the open interest, long and short side of the non-commercial traders, operators and non-reportable traders; Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator can be combined with other indicators of the MetaCOT series, also to display several participant groups in one common subwindow of the indicator. This achieves a high degree of flexibility in conducting fundamental and technical market analysis. It is important to understand that this indicator is best used in conjunction with other indicators of the MetaCOT series, thereby producing the most accurate and comprehensive analysis of the fundamental picture of the market.

Chart of COT report : changes in absolute positions.

MetaCOT 2 COT Netto Position.

MetaCOT 2 is a set of indicators and specialized utilities for the analysis of the U. S. Commodity Futures Trading Commission reports. Thanks to the reports issued by the Commission, it is possible to analyze the size and direction of the positions of the major market participants, which brings the long-term price prediction accuracy to a new higher-quality level, inaccessible to most traders.

The indicator of the net positions of the market participants displays the difference between the long and short positions of one of the three trader groups, and also the gross open interest of the entire market and the number of positions that are covered by non-commercial traders. The COT (Commitments of Traders) report of the CFTC commission serves as the data source for this indicator. Below is a complete list of displayed groups:

Cumulative Open Interest of all market participants (Open Interest); Net position of non-commercial traders (Netto Non-Commercial); Position of non-commercial traders, that is covered (Non-Commercial Spread); Net position of operators or commercial traders (Netto Operators Long); Net position of non-reportable or small traders (Nonreportable Long);

Often the extreme values of the net position of one of the group members are the harbingers of the global market reversal. This indicator shows these values, indicating the potential reversals in the future. Find out more details on how to use this indicator in the book by Larry Williams:"Trade Stocks and Commodities with the Insiders: Secrets of the COT Report", and also in the articleMeta COT Project - New Horizons for CFTC Report Analysis in MetaTrader 4.

Below are the indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of COT report : net positions of participants.

MetaCOT 2 COT Netto Changes.

MetaCOT 2 Netto Changes in Commitments shows the changes in the net positions of market participants. The information on the market participants and the number of contracts held by them is obtained from the COT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The indicator data is similar to the values given in the " Changes in Commitments " section of the COT report, with the only difference that they are calculated for the net position and not the absolute position of the traders. In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Netto Group of Traders - Net group of COT report participants. Includes the open interest and the total position of one of three groups (non-commercial traders, operators and non-reportable traders); Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of COT report : changes in net position.

MetaCOT 2 COT Index.

COT Index is the most popular, efficient and the simplest indicator for determining the extreme overbought and oversold points of the market. It is calculated on the basis of data on the net trader positions taken from the COT report (Commitments of Traders) by the Stochastic oscillator formula. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels. The calculation is based on net positions of commercial, non-commercial and non-reportable traders, as well as the open interest.

Below are the indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above; Period of COT Index - Period of COT Index calculation. Recommended values: 25, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Graph of COT Index (52 weekly, Gold)

MetaCOT 2 COT Williams Commercial Index (Willco)

Williams Commercial Index (Willco) developed by Larry Williams is the most advanced version of the standard COT Index. Unlike the latter, Willco compares extreme values ​​of participant groups to cumulative open interest. Thus, Willco is a standard COT Index weighted relative to the entire market. Like the latter, it is an oscillator and changes its value from zero to one hundred percent. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels. The data on net positions of traders is used as the basis of the calculation (see the MetaCOT 2 Netto Positionsindicator).

Below are the indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above; Period of COT Index - period of COT Index calculation. Recommended values: 25, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Graph of Willco (52 weekly, Gold)

MetaCOT 2 COT Movement Index.

Movement Index was first proposed by Steve Breeze and described in his book "The Commitments of Traders Bible: How To Profit from Insider Market Intelligence". It quickly gained popularity among the traders who analyze the CFTC reports, and became a classic and a unique tool in many aspects, which can be used for finding rapid changes, leading to an imbalance of positions between the market participants.

The indicator displays the change in the relative position of the participants as a histogram, expressed as a percentage. It ranges from -100% to + 100% and is calculated based on the data of the COT Index or Willco Index indicator. The reverse signals appear when the absolute values of the indicator exceed the threshold, set to 40% by default.

While other indicators of the MetaCOT series are trend indicators, the Movement Index is a momentum indicator, i. e. it displays the rapid change in the positions of the market participants. Thus, the indicator becomes indispensable for analysis in conjunction with other indicators of the MetaCOT series. In addition, the Movement Index is not available on other programs which provide access to the CFTC reports. Thus, the MetaTrader platform and the MetaCOT set are the uncontested solution for the comprehensive analysis of the CFTC reports.

Below are the main indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above; Calculation On Data - Allows to select one of two indicators as the data for calculation: COT Index (classic option) or Willco Index (advanced option); Period of COT Index - Period of COT Index calculation, the indicator used for the calculation of the Movement Index. Recommended values: 25, 52 and 156 weeks; Movement Period - the difference between the current COT Index value and the value N periods back.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Graph of Movement Index (52 weekly, Gold)

Analysis of 'Disaggregated COT' (D-COT) reports.

MetaCOT 2 D-COT Absolute Position.

The absolute position indicator shows the dynamics of the open positions or the number of traders of each group of participants in the Disaggregated COT report. It includes the following groups:

The total open interest of all market participants (Open Interest); Long position of the producers (Producer/Merchart/Processor/User Long); Short position of the producers (Producer/Merchart/Processor/User Short); The total long position of swap dealers (Swap Dealers Long); The total short position of swap dealers (Swap Dealers Short); The total position of swap dealers in the spreading (Swap Dealers Spreading); The total long position of money managers (Managed Money Long); The total short position of money managers (Managed Money Short); Total position money managers in the spreading (Managed Money Spreading); The total long position other reportable traders (Other Reportable Long); The total short position other reportable traders (Other Reportable Short); The total position other reportable traders in the spreading (Other Reportable Spreading); The total long position of unaccountable traders (Nonreportable Positions Long); The total short position of unaccountable traders (Nonreportable Positions Short);

Below are the main indicator parameters and their description:

Source of Report - D-COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of D-COT report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Often the extreme values of one of the group members are the harbingers of the global market reversal:

The Disaggregated COT report, the chart of the absolute positions of the participants.

MetaCOT 2 D-COT Absolute Changes.

MetaCOT 2 D-COT Absolute Changes shows the changes in the number of contracts held by the market participants. The information on the market participants and the number of contracts held by them is obtained from the D-COT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The data displayed by the indicator is available in the D-COT report itself, in the "Changes in Commitments" section:

The Disaggregated COT report, the original report format.

In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - D-COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Netto Group of Traders - Net group of D-COT report participants. Includes the open interest and the total position of one of three groups (non-commercial traders, operators and non-reportable traders); Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The Disaggregated COT report: change in the absolute position.

MetaCOT 2 D-COT Netto Position.

MetaCOT 2 D-COT Netto Position analyzes reports Disaggregated Commitments of Traders (D-COT) and is analogous to the classical indicator of the Netto Position calculated for the COT reports.

D-COT Netto Position - The indicator of the net positions of the market participants displays the difference between the long and short positions of one of the three trader groups, and also the gross open interest of the entire market.

Below are the indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of COT report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The Disaggregated COT report, the chart of net position of participants.

MetaCOT 2 D-COT Netto Changes.

MetaCOT 2 D-COT Netto Changes shows the changes in the net positions of market participants. The information on the market participants and the number of contracts held by them is obtained from the D-COT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The indicator data is similar to the values given in the " Changes in Commitments " section of the D-COT report, with the only difference that they are calculated for the net position and not the absolute position of the traders. In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - D-COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Netto Group of Traders - Net group of D-COT report participants. Includes the open interest and the total position of one of three groups (non-commercial traders, operators and non-reportable traders); Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The Disaggregated COT report, the chart of changes in the net positions of the participants.

MetaCOT 2 D-COT Index.

MetaCOT 2 is a set of indicators and specialized utilities, that allows to analyze the CFTC (U. S. Commodity futures trading commission) reports right in the MetaTrader terminal. This indicator analyzes the Disaggregated Commitments of Traders (D-COT) reports and is analogous to the classic COT Index indicator, calculated for the COT reports.

D-COT Index is the most popular, efficient and simple indicator for determining the extreme overbought and oversold points of the market. It is calculated based on the data on the net positions of traders from the D-COT (Disaggregated Commitments of Traders) report according to the formula of the Stochastic oscillator. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels.

Find out more details on the calculation method of this indicator in the book by Larry Williams: Trade Stocks and Commodities with the Insiders: Secrets of the COT Report".

Below are the main indicator parameters and their description:

Source of Report - D-COT report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of D-COT report participants; Period of COT Index - period of COT Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator is designed for analyzing commodity markets (metals, oil and gas, food, raw materials). Use the TFF series indicators for analyzing the financial markets (currencies, indices, bonds), particularly the TFF Index.

Chart of Disaggregated COT Index ( 52 weekly , Gold)

MetaCOT 2 D-COT Williams Commercial Index (Willco)

MetaCOT 2 is a set of indicators and specialized utilities, that allows to analyze the CFTC (U. S. Commodity futures trading commission) reports right in the MetaTrader terminal. This indicator analyzes the Disaggregated Commitments of Traders (D-COT) reports and is analogous to the classic Willco indicator, calculated for the COT reports.

Williams Commercial Index (Willco) developed by Larry Williams is the most advanced version of the standard D-COT Index. Unlike the latter, Willco compares extreme values ​​of participant groups to cumulative open interest. Thus, Willco is a standard D-COT Index weighted relative to the entire market. Like the latter, it is an oscillator and changes its value from zero to one hundred percent. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the potential reversal of the price after reaching these levels.

Find out more details on the calculation method of this indicator in the book by Larry Williams: Trade Stocks and Commodities with the Insiders: Secrets of the COT Report".

Below are the main indicator parameters and their description:

Source of Report - D-COT report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of D-COT report participants; Period of Willco Index - period of Willco Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator is designed for analyzing commodity markets (metals, oil and gas, food, raw materials). Use the TFF series indicators for analyzing the financial markets (currencies, indices, bonds), particularly the Williams Commercial Index TFF.

Chart of Disaggregated Willco ( 52 weekly , Silver)

MetaCOT 2 D-COT Movement Index.

Movement Index was first proposed by Steve Breeze and described in his book "The Commitments of Traders Bible: How To Profit from Insider Market Intelligence". It quickly gained popularity among the traders who analyze the CFTC reports, and became a classic and a unique tool in many aspects, which can be used for finding rapid changes, leading to an imbalance of positions between the market participants.

The indicator displays the change in the relative position of the participants as a histogram, expressed as a percentage. It ranges from -100% to + 100% and is calculated based on the data of the D-COT Index or D-COT Willco Index indicator. The reverse signals appear when the absolute values of the indicator exceed the threshold, set to 40% by default.

While other indicators of the MetaCOT series are trend indicators, the Movement Index is a momentum indicator, i. e. it displays the rapid change in the positions of the market participants. Thus, the indicator becomes indispensable for analysis in conjunction with other indicators of the MetaCOT series. In addition, the Movement Index is not available on other programs which provide access to the CFTC reports. Thus, the MetaTrader platform and the MetaCOT set are the uncontested solution for the comprehensive analysis of the CFTC reports.

Below are the main indicator parameters and their description:

Source of Report - D-COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of D-COT report participants. Includes the groups listed above; Calculation On Data - Allows to select one of two indicators as the data for calculation: D-COT Index (classic option) or Willco Index (advanced option); Period of COT Index - Period of D-COT Index calculation, the indicator used for the calculation of the Movement Index. Recommended values: 25, 52 and 156 weeks; Movement Period - the difference between the current D-COT Index value and the value N periods back.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of Disaggregated Movement Index ( 52 weekly , Gold)

Analysis of 'Traders in Financial Futures' (TFF) reports.

MetaCOT 2 TFF Absolute Position.

The absolute position indicator shows the dynamics of the open positions or the number of traders of each group of participants report Traders in Financial Futures. It includes the following groups:

The total open interest of all market participants (Open Interest); Long positions intermediaries, organizers of trades (Dealer/Intermediary Long); Short positions intermediaries, organizers of trades (Dealer/Intermediary Short); The position of the intermediaries, organizers in spreading (Dealer/Intermediary Spreading); Long positions of asset managers (Asset Manager Long); Short positions of asset managers (Asset Manager Long); The position of asset managers in the spreading (Spreading Asset Manager); The long position the leverage funds (Leverage Funds Long); The short position the leverage funds (Leverage Funds Short); The spreading position the leverage funds (Leverage Funds Spreading); The long position of other reportable traders (Other Reportable Long); The short position of other reportable traders (Other Reportable Short); The spreading position of other reportable traders (Other Reportable Spreading); Long positions nonreportable trades (Nonreportable Position Long); Short positions nonreportable trades (Nonreportable Position Long);

Below are the main indicator parameters and their description:

Source of Report - TFF report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of TFF report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The TFF report, the graph of the absolute positions of the dealers, the Russian ruble.

MetaCOT 2 TFF Absolute Changes.

MetaCOT 2 TFF Absolute Changes shows the changes in the number of contracts held by the market participants. The information on the market participants and the number of contracts held by them is obtained from the TFF report, published by the CFTC (U. S. Commodity Futures Trading Commission). The data displayed by the indicator is available in the TFF report itself, in the "Changes in Commitments" section:

The source report TFF.

In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - TFF report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Absolute group of TFF report participants. Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The TFF report, the dynamics of changes in the absolute positions of the dealers, the Russian ruble.

MetaCOT 2 TFF Netto Position.

This indicator analyzes the Traders in Financial Futures (TFF) reports and is analogous to the classic Netto Position indicator, calculated for the COT reports.

TFF Netto Position is the indicator of net positions of market participants. It displays the difference between the long and short positions of one of traders groups, as well as the total open interest of the entire market. The indicator allows to analyze the dynamics of supply and demand in the major financial markets. The uptrends must be confirmed by increasing demand for the goods, while the decline in prices must be confirmed by a decline in demand. The discrepancies in these figures give an important signal about the potential market reversal.

Find out more details on the calculation method of this indicator in the book by Larry Williams: Trade Stocks and Commodities with the Insiders: Secrets of the COT Report".

Below are the main indicator parameters and their description:

Source of Report - TFF report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of TFF report participants.

This indicator is designed for analyzing financial markets (currencies, indices, bonds). Use the D-COT series indicators for analyzing the commodity markets (metals, oil and gas, food, raw materials), particularly the D-COT Netto Position.

The TFF report, chart of net positions of participants.

MetaCOT 2 TFF Netto Changes.

MetaCOT 2 Netto Changes in Commitments shows the changes in the net positions of market participants. The information on the market participants and the number of contracts held by them is obtained from the COT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The indicator data is similar to the values given in the " Changes in Commitments " section of the COT report, with the only difference that they are calculated for the net position and not the absolute position of the traders. In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - TFF report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Netto Group of Traders - Net group of TFF report participants. Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The TFF report, the dynamics of changes in the net positions of the participants.

MetaCOT 2 TFF Index.

MetaCOT 2 is a set of indicators and specialized utilities, that allows to analyze the CFTC (U. S. Commodity futures trading commission) reports right in the MetaTrader terminal. This indicator analyzes the Traders in Financial Futures (TFF) reports and is analogous to the classic COT Index indicator, calculated for the COT reports.

TFF Index is the most popular, efficient and simple indicator for determining the extreme overbought and oversold points of the market. It is calculated based on the data on the net positions of traders from the TFF (Traders in Financial Futures) report according to the formula of the Stochastic oscillator. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the probable reversal of the price after reaching these levels.

Find out more details on the calculation method of this indicator in the book by Larry Williams: Trade Stocks and Commodities with the Insiders: Secrets of the COT Report".

Below are the main indicator parameters and their description:

Source of Report - TFF report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of TFF report participants; Period of COT Index - period of COT Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator is designed for analyzing financial markets (currencies, indices, bonds). Use the D-COT series indicators for analyzing the commodity markets (metals, oil and gas, food, raw materials), particularly the D-COT Index.

Chart of TFF index ( 52 weekly , British pound)

MetaCOT 2 TFF Williams Commercial Index (Willco)

MetaCOT 2 is a set of indicators and specialized utilities, that allows to analyze the CFTC (U. S. Commodity futures trading commission) reports right in the MetaTrader terminal. This indicator analyzes the Traders in Financial Futures (TFF) reports and is analogous to the classic Willco indicator, calculated for the COT reports.

Williams Commercial Index (Willco) developed by Larry Williams is the most advanced version of the standard TFF Index. Unlike the latter, Willco compares extreme values ​​of participant groups to cumulative open interest. Thus, Willco is a standard TFF Index weighted relative to the entire market. Like the latter, it is an oscillator and changes its value from zero to one hundred percent. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the potential reversal of the price after reaching these levels.

Find out more details on the calculation method of this indicator in the book by Larry Williams: Trade Stocks and Commodities with the Insiders: Secrets of the COT Report".

Below are the main indicator parameters and their description:

Source of Report - TFF report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of TFF report participants; Period of Willco Index - period of Willco Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator is designed for analyzing financial markets (currencies, indices, bonds). Use the D-COT series indicators for analyzing the commodity markets (metals, oil and gas, food, raw materials), particularly the Williams Commercial Index D-COT.

Chart of TFF Willco ( 52 weekly , Russian ruble)

MetaCOT 2 TFF Movement Index.

MetaCOT 2 is a set of indicators and specialized utilities, that allows to analyze the CFTC (U. S. Commodity futures trading commission) reports right in the MetaTrader terminal. This indicator analyzes the Traders in Financial Futures (TFF) reports and is analogous to the classic Movement Index, calculated for the COT reports.

Movement Index was first proposed by Steve Breeze and described in his book "The Commitments of Traders Bible: How To Profit from Insider Market Intelligence". It quickly gained popularity among the traders who analyze the CFTC reports, and became a classic and a unique tool in many aspects, which can be used for finding rapid changes, leading to an imbalance of positions between the market participants. The indicator is best suited to swing trading.

The indicator displays the change in the relative position of the participants as a histogram, expressed as a percentage. It ranges from -100% to + 100% and is calculated based on the data of the TFF Index or Willco Index indicator. The reverse signals appear when the absolute values of the indicator exceed the threshold, set to 40% by default.

While other indicators of the MetaCOT series are trend indicators, the Movement Index is a momentum indicator, i. e. it displays the rapid change in the positions of the market participants. Thus, the indicator becomes indispensable for analysis in conjunction with other indicators of the MetaCOT series. In addition, the Movement Index is not available on other programs which provide access to the CFTC reports.

Below are the main indicator parameters and their description:

Source of Report - TFF report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - group of TFF report participants; Period - period to calculate the COT or Willco index. Recommended values: 26, 52 and 156 weeks; Movement Period - Period between two points of the index. The default is 6 weeks; Movement Type - Type of index calculation. The indicator can be calculated based on the classic TFF index, as well as the Willco; Critical Value - Critical value, when exceeded, the indicator generates alerts about the probable change in the trend.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

This indicator is designed for analyzing commodity markets (metals, oil and gas, food, raw materials). Use the TFF series indicators for analyzing the financial markets (currencies, indices, bonds), particularly the Movement Index D-COT.

Chart of TFF Movement Index ( 52 weekly , British pound)

Analysis of 'Largest Traders' section in COT reports.

MetaCOT 2 L-COT Absolute Position.

The indicator shows the positions of major market participants relative to the total number of open positions (open interest). In the COT report, the major participants are as follows:

By greatest absolute position (By Gross Position). It is divided into two subgroups: The absolute positions of the four largest traders (4 or Less Traders); The absolute positions of the eight largest traders (8 or Less Traders); By the maximum net positions (By Net Position). In turn, it is also divided into two subgroups: The net position of the four largest traders (4 or Less Traders); The net positions of the eight largest traders (8 or Less Traders);

Therefore, the available 4 groups for analysis: 4, 8 largest traders to the absolute positions and the 4 and 8 largest traders to net positions. Data for this indicator directly available in the COT report:

The following are the key parameters and their meaning:

Source of Report - L-COT report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - Group of L-COT report participants;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The COT report: chart of largest participants.

MetaCOT 2 L-COT Absolute Changes.

MetaCOT 2 L-COT Absolute Changes shows the changes in the number of contracts held by the largest market participants.

In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - COT report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - Group of largest report participants. Includes the groups listed above; Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The COT report: dynamic of changes positions of largest participants.

MetaCOT 2 L-COT Netto Position.

The indicator of the net positions of the market largest participants displays the difference between the long and short positions of one of the three trader groupsBelow is a complete list of displayed groups:

The absolute netto positions of the four largest traders (4 or Less Traders); The absolute netto positions of the eight largest traders (8 or Less Traders); The netto net position of the four largest traders (4 or Less Traders); The netto net positions of the eight largest traders (8 or Less Traders);

Often the extreme values of the net position of one of the largest group members are the harbingers of the global market reversal. Below are the indicator parameters and their descriptions:

Source of Report - COT report type. There are two types of report: Futures Only and Futures And Options; Group of Traders - Group of largest report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The COT report: chart of netto position of largest participants.

MetaCOT 2 L-COT Netto Changes.

MetaCOT 2 L-COT Netto Changes shows the changes in net positions of large market participants. This indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Source of Report - COT report type. There are two types of report: Futures Only and Futures And Options; Netto Group of Traders - Group of largest report participants. Includes the groups listed above; Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

The COT report: dynamic of changes netto position of largest participants.

MetaCOT 2 L-COT Index.

L-COT index is the classic COT Index calculated on data from major market participants. Because these data are relative, and show the percentage of contracts held by major participants relative to the total open interest, L-COT Index corresponds exactly to the indicator L-COT Willco. Therefore, L-COT Index does not exist as a separate indicator.

MetaCOT 2 L-COT Williams Commercial Index (Willco)

Williams Commercial Index (Willco) developed by Larry Williams is the most advanced version of the standard COT Index. Unlike the latter, Willco compares extreme values ​​of participant groups to cumulative open interest. Thus, Willco is a standard L-COT Index weighted relative to the entire market. Like the latter, it is an oscillator and changes its value from zero to one hundred percent. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels. The data on net positions of traders is used as the basis of the calculation (see the MetaCOT 2 Netto Positions indicator).

Below are the indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of largest participants. Includes the groups listed above; Period of COT Index - period of COT Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of Willco on largest participants ( 52 weekly, Silver)

MetaCOT 2 L-COT Movement Index.

Movement Index was first proposed by Steve Breeze and described in his book "The Commitments of Traders Bible: How To Profit from Insider Market Intelligence". It quickly gained popularity among the traders who analyze the CFTC reports, and became a classic and a unique tool in many aspects, which can be used for finding rapid changes, leading to an imbalance of positions between the market participants.

The indicator displays the change in the relative position of the participants as a histogram, expressed as a percentage. It ranges from -100% to + 100% and is calculated based on the data of the L-COT Index or Willco Index indicator. The reverse signals appear when the absolute values of the indicator exceed the threshold, set to 40% by default.

While other indicators of the MetaCOT series are trend indicators, the Movement Index is a momentum indicator, i. e. it displays the rapid change in the positions of the market participants. Thus, the indicator becomes indispensable for analysis in conjunction with other indicators of the MetaCOT series. In addition, the Movement Index is not available on other programs which provide access to the CFTC reports. Thus, the MetaTrader platform and the MetaCOT set are the uncontested solution for the comprehensive analysis of the CFTC reports.

Below are the main indicator parameters and their description:

Source of Report - COT report type. There are two types of report: 'Futures Only' and 'Futures And Options'; Group of Traders - Group of largest participants. Includes the groups listed above; Calculation On Data - Allows to select one of two indicators as the data for calculation: COT Index (classic option) or Willco Index (advanced option); Period of COT Index - Period of COT Index calculation, the indicator used for the calculation of the Movement Index. Recommended values: 26, 52 and 156 weeks; Movement Period - the difference between the current COT Index value and the value N periods back.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of Movement Index on largest participants ( 52 weekly , Silver)

Analysis of 'Commodity Index Trader Supplement' (CIT) reports.

Report Commodity Index Trader Supplement is an expanded version of the classic COT report produced for some of the commodity markets. It is formed for the following markets:

Besides the main groups of the COT report, CIT report includes information about long and short positions of the so-called index traders (CIT and CIT Long All Short All). Otherwise he repeats the COT report. This type of report is only available for futures and options.

MetaCOT 2 CIT Absolute Position.

The absolute position indicator shows the dynamics of the open positions or the number of traders of each group of participants in the CIT report. It includes the following groups:

Cumulative Open Interest of all market participants (Open Interest); Long position or the number of non-commercial traders (Non-Commercial Long); Short position or the number of non-commercial traders (Non-Commercial Short); Position of non-commercial traders or their number, that is covered (Non-Commercial Spread); Long position or the number of operators (Operators Long); Short position or the number of operators (Operators Short); Long position of non-reportable or small traders (Nonreportable Long); Short position of non-reportable or small traders (Nonreportable Short). Long position of index traders (CIT Long All); Short position of index traders (CIT Short All).

The indicator has one main parameter:

Group of Traders - group participants report CIT. Includes groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT report: the positions of index traders.

MetaCOT 2 CIT Absolute Changes.

MetaCOT 2 Absolute Changes in Commitments shows the changes in the number of contracts held by the market participants. The information on the market participants and the number of contracts held by them is obtained from the CIT reports, published by the CFTC (U. S. Commodity Futures Trading Commission).

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Group of Traders - Group of CIT report participants. Includes the open interest, long and short side of the non-commercial traders, operators and non-reportable traders; Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT report: changes in the positions of index traders.

MetaCOT 2 CIT Netto Position.

The indicator of the net positions of the market participants displays the difference between the long and short positions of one of the three trader groups, and also the gross open interest of the entire market and the number of positions that are covered by non-commercial traders. The COT (Commitments of Traders) report of the CFTC commission serves as the data source for this indicator. Below is a complete list of displayed groups:

Cumulative Open Interest of all market participants (Open Interest); Net position of non-commercial traders (Netto Non-Commercial); Position of non-commercial traders, that is covered (Non-Commercial Spread); Net position of operators or commercial traders (Netto Operators Long); Net position of non-reportable or small traders (Nonreportable Long); Net position of index traders (Netto CIT);

Often the extreme values of the net position of one of the group members are the harbingers of the global market reversal. This indicator shows these values, indicating the potential reversals in the future.

The indicator has one main parameter:

Group of Traders - Group of COT report participants. Includes the groups listed above;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT report: schedule of net position of index traders.

MetaCOT 2 CIT Netto Changes.

MetaCOT 2 Netto Changes in Commitments shows the changes in the net positions of market participants. The information on the market participants and the number of contracts held by them is obtained from the CIT reports, published by the CFTC (U. S. Commodity Futures Trading Commission). The indicator data is similar to the values given in the " Changes in Commitments " section of the CIT report, with the only difference that they are calculated for the net position and not the absolute position of the traders. In addition, the presented indicator has additional features:

The changes in the number of contracts can be viewed not only compared to the previous week's publication, but also to any other previous date of the report (set by the 'Difference Between Two Reports' parameter); The changes can be displayed not only as the absolute change in the contracts, but also as their percentages (set by the 'Type Values' parameter).

Below are the indicator parameters and their descriptions:

Netto Group of Traders - Net group of CIT report participants. Difference Between Two Reports - The default value of 1 means that it will calculate the difference between the current and the value one week ago. The value of 2 means the difference between the current value and the value two weeks ago, etc. Type Values - The 'Absolute Values' means the display of the absolute changes in the number of contracts. The 'Percent Values' displays this change as a percentage of the previous value.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT report: changes in net positions of index traders.

MetaCOT 2 CIT Index.

CIT Index is analog COT Index. It is the most popular, efficient and the simplest indicator for determining the extreme overbought and oversold points of the market. It is calculated on the basis of data on the net trader positions taken from the CIT report by the Stochastic oscillator formula. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels. The calculation is based on net positions of commercial, non-commercial and non-reportable traders, as well as the open interest.

Below are the indicator parameters and their description:

Group of Traders - Group of COT report participants. Includes the groups listed above; Period of COT Index - Period of COT Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT Index ( 52 weekly , Sugar)

MetaCOT 2 CIT Williams Commercial Index (Willco)

Williams Commercial Index (Willco) developed by Larry Williams is the most advanced version of the standard CIT Index. Unlike the latter, Willco compares extreme values ​​of participant groups to cumulative open interest. Thus, Willco is a standard CIT Index weighted relative to the entire market. Like the latter, it is an oscillator and changes its value from zero to one hundred percent. The values of the indicator from 0% to 20% and from 80% to 100% point at the moments of the extreme overbought and oversold state market, signaling the frequent reversal of the price after reaching these levels. The data on net positions of traders is used as the basis of the calculation (see the MetaCOT 2 Netto Positionsindicator).

Below are the indicator parameters and their description:

Group of Traders - Group of CIT report participants. Includes the groups listed above; Period of COT Index - period of COT Index calculation. Recommended values: 26, 52 and 156 weeks;

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT Willco ( 52-weekly , Wheat)

MetaCOT 2 CIT Movement Index.

Movement Index was first proposed by Steve Breeze and described in his book "The Commitments of Traders Bible: How To Profit from Insider Market Intelligence". It quickly gained popularity among the traders who analyze the CFTC reports, and became a classic and a unique tool in many aspects, which can be used for finding rapid changes, leading to an imbalance of positions between the market participants.

The indicator displays the change in the relative position of the participants as a histogram, expressed as a percentage. It ranges from -100% to + 100% and is calculated based on the data of the CIT Index or Willco Index indicator. The reverse signals appear when the absolute values of the indicator exceed the threshold, set to 40% by default.

While other indicators of the MetaCOT series are trend indicators, the Movement Index is a momentum indicator, i. e. it displays the rapid change in the positions of the market participants. Thus, the indicator becomes indispensable for analysis in conjunction with other indicators of the MetaCOT series. In addition, the Movement Index is not available on other programs which provide access to the CFTC reports. Thus, the MetaTrader platform and the MetaCOT set are the uncontested solution for the comprehensive analysis of the CFTC reports.

Below are the main indicator parameters and their description:

Group of Traders - Group of CIT report participants. Includes the groups listed above; Calculation On Data - Allows to select one of two indicators as the data for calculation: COT Index (classic option) or Willco Index (advanced option); Period of COT Index - Period of COT Index calculation, the indicator used for the calculation of the Movement Index. Recommended values: 25, 52 and 156 weeks; Movement Period - the difference between the current CIT Index value and the value N periods back.

More details on the description of the indicator settings can be found in the blog "MetaCOT 2: Settings and Possibility".

Chart of CIT Movement Index ( 52-weekly, Wheat )

Translated from Russian by MetaQuotes Software Corp.

CommitmentsOfTraders.

Shedding a little light on large trader maneuvers in futures markets.

Pós-navegação.

Commitments of Traders Bible by Stephen Briese.

“ The Commitments of Traders Bible ” is the first comprehensive guide to the COT report. If you don’t want to know everything there is to know about the Commitments of Traders , then don’t buy this book. Click here for full details: The Commitments Of Traders Bible by Stephen Briese.

Holiday COT Report Schedule.

COT data that is normally released on Friday, will be delayed until Monday afternoons Dec 1; Dec 29, 2014; and Jan 5, 2015. Data and charts will be updated by Tuesday.

OCT 4 COT REPORT POSTED.

The CFTC today released Commitments of Traders reports that should have been released on Oct 4, with data tabulated as of Oct 1, 2013. The data and charts on this site have been updated accordingly. More updates will be posted when available.

CFTC TO BEGIN COT REPORTING.

The CFTC will begin catching up with Commitments of Traders releases that were miss due to the government shutdown. They expect to be fully current by November 8. The CFTC announcement is available herre: cftc. gov/PressRoom/PressReleases/pr6745-13.

CFTC ANNOUNCES NO COT REPORTS AGAIN THIS WEEK.

“October 17, 2013.

CFTC Announcement Concerning Commitments of Trader and Cotton on Call Reports.

Washington, DC – The U. S. Commodity Futures Trading Commission’s (CFTC) announced today that the Commitments of Traders and Cotton on Call reports previously scheduled for release on October 17 th and October 18 th respectively, will not be published this week. The CFTC is performing the work necessary to resume publishing these and other reports and will announce a revised schedule once more information becomes available.”

COT Reporting Suspended During Shutdown.

The CFTC will not publish COT data during the US government shutdown. (There is no other source for this information.)

Bad news for the banks. Good news for the public.

01/24/2013 03:02 PM EST.

Appointed by President Bush in 2007, Sommers previous job was chief lobbyist for the International Swaps and Derivatives Association, and is the poster child for “First, Do Nothing” in regulatory reform in the financial industry. As Commissioner, she opposed implementation of any regulation that might impact the ability of the four large swap dealers who account for 94% of swap contracts: JP Morgan/Chase, Bank of America, Citigroup, Goldman Sachs.

Watch the news. Best guess is she will land on her feet–in a plush office with a major bank.

The first thing we do, let’s kill all the speculators.

Futures markets serve as a hedging devise for commodity producers and processors. In a perfect world of balanced supply and demand, commodity processors would contract directly with producers for future inventory needs at negotiated prices. In the real world, there are nearly always more producers wanting to sell than processors willing to buy, or visa-versa. This gap is bridged by speculators who step in to assume market risk—as temporary buyers or sellers—in exchange for a profit opportunity. If they did not exist, speculators would need to be invented in order for futures markets to function. Continue reading →

About the FT article: Commitment to accuracy of CFTC data in doubt.

A few weeks ago, the Financial Times of London announced an expansion in coverage of the commodity sector. This week they published an article cleverly titled “Commitment to accuracy of CFTC data in doubt,” discussing the impact of inaccurate large trader reporting by Newedge from March through May 2011 (for which the CFTC fined the broker $700,000). Continue reading →

Insider Money Annual Outlook Issue.

Insider Money is a general investment letter covering longterm outlooks for the economy, stocks, bonds, gold, and oil. I am amused when I see articles on “those got it right,” having foreseen this or that aspect of the financial crisis. Insider Money subscribers have experienced few surprises over the past eight years, having been forewarned (repeatedly, and well ahead) of virtually every facet of the economic crisis. Not just years in advance, but with specific timely advice. It takes a lot longer, for instance to liquidate real estate holdings or a bond portfolio than to sell a stock portfolio. Timing is everything. Insider Money serves two priorities, but in a specific order. My first concern is return of your capital. My second priority is return on your capital.

that I have been a subscriber. [since June 1989] Jim Dillavou.