forexia-cot

The CFTC's weekly Commitments of Traders (COT) report for FX futures, the US dollar index and gold: positions only (long, short, net, net as a share of open interest), legacy and TFF reports, weekly since 2010. Reads the files of github.com/ForexiaPro/cot-data, updated every Friday after the CFTC's release.

Standard library only. pandas is optional.

pip install forexia-cot
forexia-cot          # this week's table: net non-commercial, weekly change, % of open interest
forexia-cot gbp      # the pound's last eight weeks

import forexia_cot as cot

cot.get_cot("EUR")                       # every legacy report since 2010, oldest first (a list of dicts)
cot.get_cot("USDJPY", report="tff")      # the yen future's TFF groups
cot.get_cot("gold", since="2024-01-01")
cot.latest()                             # this week, every market and group

df = cot.cot_frame("EUR")                # pip install "forexia-cot[pandas]"
df.noncommercial_net.plot()

Markets: EUR, GBP, JPY, CHF, CAD, AUD, NZD, MXN, USD (the dollar index), XAU (gold; legacy only). EURUSD, USDJPY, gold and DXY work too.

Columns: date (the Tuesday the positions were counted), open_interest, then for each group _long, _short, _net, _net_pct_oi (net as a share of open interest, in per cent); non-commercial also has _spreading. Legacy groups: noncommercial, commercial, nonreportable. TFF groups: dealer, asset_manager, leveraged_funds, other_reportable, nonreportable. Positions are contracts in the future's terms: long JPY is long the yen, so short USDJPY.

For Forexia's COT index and weekly reading of these positions, see forexiapro.com/cot-report.

Licence

The code is MIT. The figures are the CFTC's Commitments of Traders (public domain), compiled by Forexia: forexiapro.com/cot-report.

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