pycot-reports 0.0.1

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pycot

pycot is a easy to use python library for interacting with the CFTC Commitment of Traders reports.

Installation

pip install pycot-reports

Requirements

• pandas
• requests

How to use

from pycot import legacy_report, disaggregated_report, financial_report

Lets have a look at an example.

Legacy Report

from pycot import legacy_report
contract_name = ("FED FUNDS - CHICAGO BOARD OF TRADE", "30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE")
df = legacy_report("legacy_fut", contract_name)

Output Example:

                                            Contract Name  Open Interest  ...  Net Change, Large Spec  Net % of OI, Large Spec
Date                                                                      ...                                                 
2023-05-30             FED FUNDS - CHICAGO BOARD OF TRADE      1855851.0  ...                -91660.0                     -9.7
2023-05-23             FED FUNDS - CHICAGO BOARD OF TRADE      1735674.0  ...                -20924.0                     -5.1
2023-05-16             FED FUNDS - CHICAGO BOARD OF TRADE      1585578.0  ...                  7746.0                     -4.3
2023-05-09             FED FUNDS - CHICAGO BOARD OF TRADE      1502281.0  ...                -35180.0                     -5.0
2023-05-02             FED FUNDS - CHICAGO BOARD OF TRADE      1483670.0  ...                 50471.0                     -2.7
...                                                   ...            ...  ...                     ...                      ...
1993-03-23  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE        11298.0  ...                   106.0                      9.1
1993-03-16  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE        11015.0  ...                    -8.0                      8.3
1993-03-09  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE        10651.0  ...                   -51.0                      8.8
1993-03-02  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE        10902.0  ...                  -190.0                      9.0
1993-02-23  30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE        12460.0  ...                   -83.0                      9.4
...

Contract Names

The only tricky part is the contract name.

You can find the contract name in the CFTC Commitment of Traders reports. The contract name is the first column in the report.

Release Shedule

The CFTC releases the reports every Friday at 3:30pm Eastern Time.