CQG CFTC Disaggregated COT Dashboard

This Microsoft Excel® dashboard displays the CFTC Disaggregated COT data published each Friday as of Tuesday’s business date. Using the combined futures and options data there is a pie chart and two histogram bar charts.

There are four tabs:

Disaggregated: Positions are detailed as a percentage of the total open interest and a net percentage change from the user input lookback by weeks.

Traders in Financial Future: This has a different set of reported participants. Again, data is a percentage of total open interest and the net percentage change from the user input lookback by weeks.

Disaggregated Notional Number: Here the dollar value of the contract is multiplied by the reported open interest for the category and the dollar value change.

Traders in Financial Future Notional Number: Again, the dollar value of the contract is multiplied by the reported open interest for the category and the dollar value change.

For the Disaggregated tabs you must use a tradeable non-financial symbols, such as ZSE, CLE, GCE, etc.

The Disaggregated reports are broken down by agriculture, petroleum and products, natural gas and products, electricity and metals and other physical contracts. The reportable open interest holdings are separated into four classifications:

  • Producer/Merchant/Processor/User
  • Swap Dealers
  • Managed Money
  • Other Reportables

The Traders in Financial Futures (TFF) report is also included in the Disaggregated group and includes financial contracts, such as currencies, US Treasury securities, Eurodollars, stocks, VIX and Bloomberg commodity index. The TFF report breaks down the reportable open interest positions into four classifications:

  • Dealer/Intermediary
  • Asset Manager/Institutional
  • Leveraged Funds
  • Other Reportables

The two sets of histogram charts show the net difference between longs and shorts for each category.

In addition, at the top of the dashboard are two macro button to hide or show the Excel Ribbon to manage screen real estate. Be sure and click Show before closing the dashboard.

Excel doesn’t always adjust the labels correctly and they may overlap. Click the “Realign Labels” button to adjust the labels.

Requires CQG Integrated Client or QTrader and data enablements for the products. Strongly recommended: Microsoft Office Professional Excel 2016, 2019, 32 or 64-bits installed on your computer, not in the Cloud.

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