Commitment of Traders Dashboard with Z-Scores and CQG COT Studies

This is an update to the Commitment of Traders COT Dashboards.

These Microsoft Excel® dashboards pulls legacy Commitment of Traders data from the CFTC website. After the latest report is published on Friday, the historical data tables in Excel can be updated from the Dates tab. Using CQG IC’s XLTS study you can display the historical Large Speculators, Commercials, and Small Speculators data on a chart in CQG. A CQG .pac file is available for download to add the CBOT COT studies and a CQG .pac file is available for the CME COT Studies.

The dashboards include Z-Scores. Z-Scores are last value minus the average value and that difference is divided by the standard deviation. The Z-Scores are automatically ranked from highest to lowest.

The dashboard must be running for CQG to access the data.

The individual legacy COT reports are displayed in Excel. Along the top of the left-hand report, you can click “Update Latest Data” to display the most recent COT report. There is a drop down menu to select the market. You can also populate this section by entering a date for a report. The Dates tab has a historical release table on the left-hand side, which you use to identify the date and then use that month, day, and year on the Main Display. On the right-hand side, there is a schedule of the release dates for the rest of the year. If you have not updated the dashboard recently (new reports come out Friday afternoon), you can click on the “Check for Latest Update” radio button and Excel displays the date of the latest report in the top left hand corner.

Excel displays a view of the last six dates in your historical tables. If the most recent date does not match the latest update, then click on “Update Tables” to make your dashboard current. Excel with be updated from the CFTC website.

Returning to the Main Display tab, on the right-hand side is an additional view of the COT report by date only.

Over the years, some of the market names have changed. For example, today the Chicago wheat contract is Wheat-SRW. Back in 2013, the wheat contract’s name was Wheat – Chicago Board of Trade. Therefore, the right-hand table’s drop-down menu has both current and historical market titles.

If you call for data and do not see any data, you may have an incorrect date or incorrect symbol selected.

Along the bottom of the dashboard is a table that compares the two reports displayed above. Right above that table is the Net Positions table, which is the data pulled into CQG IC using the new XLTS study.

Once you install the CQG .pac, you will see a list of customs studies that start with COT and then the CQG symbol, such as COT_ZSE, for COT data for the soybean market. The data starts in 2000. If you change the symbol in the chart, you have to update the COT study. It will not automatically change. You can add multiple COT studies. For example, you could set the chart to soybeans (Symbol: ZSE) and add the COT studies for soybeans, soybean meal, and soybean oil and compare the holdings by the groups for the soybeans and the soybean products.

If you want access to the data for your own work then apply the study to a daily or weekly chart. Condense the history of the chart to start in the year 2000 and end today, then right-click on the chart and choose “Export to Excel.”

Requires CQG Integrated Client version 19.6.8034 or higher and enabled for CQG Trading or Spreader. The XLTS study is available to base CQGIC subscriptions or QTrader (requires version 19.6.8034 or higher) at an additional cost.

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