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Discussion of article "MQL5: Analysis and Processing of Commodity Futures Trading Commission (CFTC) Reports in MetaTrader 5"

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MetaQuotes Software Corp.
MetaQuotes Software Corp. 2010.04.10 06:12 

New article MQL5: Analysis and Processing of Commodity Futures Trading Commission (CFTC) Reports in MetaTrader 5 is published:

In this article, we will develop a tool for CFTC report analysis. We will solve the following problem: to develop an indicator, that allows using the CFTC report data directly from the data files provided by Commission without an intermediate processing and conversion. Further, it can be used for the different purposes: to plot the data as an indicator, to proceed with the data in the other indicators, in the scripts for the automated analysis, in the Expert Advisors for the use in the trading strategies.

Author: Aleksey

investeo 2010.04.12 17:32  

5 star rating for this article. Thanks!

xqq 2010.04.13 08:57  
Great Thanks for Translating :)
muller 2010.10.18 19:25  

seem there is  an error into common.mqh:

datetime times[0] : '0' invalid index value

returned while compiling cot.mq5

i've tried to workaround but no luck, is somebody can fix it ? (i've no skill to do it)

chcharitos 2013.10.05 19:53  

seems there is an error in common.mqh

'SERIES_SYNCRONIZED' - undeclared identifier    common.mqh    338    42

Documentation on MQL5: Standard Constants, Enumerations and Structures / Trade Constants / History Database Properties
Standard Constants, Enumerations and Structures / Trade Constants / History Database Properties - Documentation on MQL5
Alain Verleyen
Alain Verleyen 2013.10.05 20:01  

seems there is an error in common.mqh

'SERIES_SYNCRONIZED' - undeclared identifier    common.mqh    338    42

Sergey Golubev
Sergey Golubev 2014.02.04 12:49  

Track The Largest Traders With The Commitment of Traders (CoT) Report (adapted from dailyfx article)

  • What Is The Commitment of Traders Report?
  • Who Are the Players In The Report?
  • How to Read CoT for Directional Bias

What Is the Commitment of Traders Report?

How would you like to know what the smartest guys and girls in the room are doing? Thanks to a requirement by the Commodity Futures Trading Commission, the largest futures traders in the world are required to report their positions which can easily be tracked due to the margin they must pay to hold their large positions which the CFTC has been publishing since 1962 and since 2000, ever Friday at 3:30ET pm. This information can be of extreme help due to the people who come into the Futures market like hedge funds to make a return above their respective index or some of the largest companies in the world with real-time data of the health of the economy that come to the futures market to hedge their exposure to price fluctuations of raw materials that they use to make their product or preform their service.

Who Are the Players In The Report?

  • Commercials – Using the futures market primarily for hedging unfavorable price swings to their daily operations. They likely have the best insight as to what the demand and future is for the market as a hole and have some of the deepest pockets. These players are also known as commercial hedgers. Examples: Coca Cola in the Sugar Market or American Airlines in the Gasoline Market
  • Non-Commercials (Speculators / Funds) – Traders, whether hedge-funds are large individuals, who have no interest in taking delivery but are rather in the market for profit and meet reportable requirements of the CFTC. Examples: Hedge Funds and large banks or large Commodity Trading Advisors (CTAs)
  • Nonreportable Positions – Long & Short open interest on positions that don’t meet reportable requirements, i.e. small traders. Examples: This is the leveraged players without deep pockets and are shaken out on big moves.

How to Read the CoT for Directional Bias?

Upon the first reading of the CoT, you may be confused how future positions in USD, JPY, GBP or EUR could be helpful for trading EURUD, USDJPY, or EURGBP. There is a lot to learn about the Commitment of Traders report but what’s often helpful is to find when there is a very strong divergence between large speculators and large commercials.

Look to See What Hedge Funds Are Buying Selling :

Non-Commercials / Hedge Funds Sold USDJPY Longs & Charts Confirm This :

The first place to start with is a clean understanding of Net Positioning which is shown clearly on the reports and the week over week differential of major market bias (circled above). It may be helpful to know that what you’re looking for isn’t as much the specific number but a clear sign in % of open interest or bias so that you see Non-Commercials / Funds flipping against the primary trend. Furthermore, when you see a key flip in sentiment of non-commercials / funds who are in it for the money and not to be hedged like commercials, and there is a confirmation on the charts that a trend is exhausting, you are likely trading in the direction of the big kids.

spgandau 2014.10.28 03:09  

I have returned to forex trading after an absence of 18 months.

I was using the Mql4 version of the COT report indicator.  When I tried to compile the existing mql4 COT version in mql5, it obviously did not work.  Rather than begin coding repair on my own, I tried to see if there was an updated / corrections of the original mql4 that would work in mql5, so began reading the mql5 COT material.

As  read about the mql5 version of the COT report indicator, it appears to be quite different...?  (different programmer / authors with a different approach?  OR is it the same programmer that deals with changes in mql5?)

does the mql5 COT version allow for concatenation and aggregation like was available in the mql4 version?   At first read through, I could not tell (I have much to learn about mql5 coding).  Does the mql5 version use *.ini files?

It seems that the CFTC reports been structurally changed, to allow more detailed assessment of the data.



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