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Project description
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 reports
df = reports.legacy_report(report_type="legacy_fut", contract_name=("FED FUNDS - CHICAGO BOARD OF TRADE", "30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE"))
How do I get cached results?
If you want to retrieve data from the same report multiple times, you can use the cot_report
function. This will cache the results of the previous function call.
Lets have a look at an example:
from pycot.reports import cot_report, legacy_report
fed_funds_contract = ("FED FUNDS - CHICAGO BOARD OF TRADE", "30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE")
fed_funds_df = cot_report(legacy_report(), fed_funds_contract) # will load the full report (~ 10-15 seconds)
bbg_contract = ("BBG COMMODITY - CHICAGO BOARD OF TRADE", "BLOOMBERG COMMODITY INDEX - CHICAGO BOARD OF TRADE")
bbg_df = cot_report(legacy_report(), bbg_contract) # cached, will not load the full report again
Report Types
Legacy Report (All Contracts)
from pycot.reports 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 ...
2023-07-11 FED FUNDS - CHICAGO BOARD OF TRADE 1440370.0 ... -58101.0 -11.5
2023-07-03 FED FUNDS - CHICAGO BOARD OF TRADE 1414525.0 ... -17553.0 -7.5
2023-06-27 FED FUNDS - CHICAGO BOARD OF TRADE 1746984.0 ... 12437.0 -5.1
2023-06-20 FED FUNDS - CHICAGO BOARD OF TRADE 1693141.0 ... 84512.0 -6.0
2023-06-13 FED FUNDS - CHICAGO BOARD OF TRADE 1556681.0 ... 60704.0 -12.0
... ... ... ... ... ...
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
...
Disaggregated Report (Commodities)
from pycot.reports import disaggregated_report
contract_name = ("BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE", "BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE EXCHANGE")
df = disaggregated_report("disaggregated_futopt", contract_name)
Output Example:
Contract Name Open Interest ... Net Change Managed Money Net % of OI Managed Money
Date ...
2023-07-11 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 138358.0 ... -2134.0 -2.9
2023-07-03 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 130715.0 ... 9436.0 -1.4
2023-06-27 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 153190.0 ... -6135.0 -7.4
2023-06-20 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 148800.0 ... 2367.0 -3.5
2023-06-13 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 147598.0 ... -3872.0 -5.1
... ... ... ... ...
2011-04-12 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 20546.0 ... -484.0 17.1
2011-04-05 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 19533.0 ... 655.0 20.4
2011-03-29 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 18178.0 ... -276.0 18.4
2011-03-15 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 20233.0 ... 231.0 17.9
2011-03-08 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 19639.0 ... NaN 17.3
...
Financial Report (Financial Instruments)
from pycot.reports import financial_report
contract_name = ("UST 10Y NOTE - CHICAGO BOARD OF TRADE", "10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE", "10 YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE")
df = financial_report("traders_in_financial_futures_fut", contract_name)
Output Example:
Contract Name Open Interest ... Net Change Lev Money Net % of OI Lev Money
Date ...
2023-07-11 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4800091.0 ... 155532.0 -26.8
2023-07-03 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4737762.0 ... 7710.0 -30.4
2023-06-27 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4663919.0 ... -51457.0 -31.1
2023-06-20 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4641767.0 ... -53136.0 -30.2
2023-06-13 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4619668.0 ... 69602.0 -29.1
... ... ... ... ... ...
2006-07-11 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2112145.0 ... 28199.0 1.8
2006-07-03 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2136459.0 ... -18122.0 0.5
2006-06-27 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2194364.0 ... 13929.0 1.3
2006-06-20 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2097072.0 ... -27203.0 0.6
2006-06-13 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 1912279.0 ... NaN 2.2
...
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.
You can also find a curated list of contract names in the contract_names.json
Release Shedule
The CFTC releases the reports every Friday at 3:30pm Eastern Time.
Project details
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