CFTC Commitments of Traders Weekly Panel

Inside the data

Four tables ship together. The long panel carries one row per report date, contract, family, basis, and trader category, with harmonized long, short, and spreading positions, trader counts, and percent of open interest. The wide weekly features table adds open interest and its change, concentration ratios, and per category net position, net share, change from the prior report, COT indices over 52 and 156 reports, and a z-score. A markets reference table records name history, exchange, first and last report dates, and splice flags per contract code, and a release anomaly calendar documents known publication events with their CFTC source URLs. Parquet is the reference format; per family gzipped CSVs ship alongside.

Built for correctness

COT data is harder than it looks: the CFTC's own FAQ notes the published data has no primary key, and contract codes get reused across decades. A splice aware market key separates contracts that shared a code, so trailing window features never blend two different underlying contracts. The panel is assembled from the CFTC's public API and cross verified against the historical bulk files, and source anomalies are flagged rather than silently corrected: where the CFTC published a concentration value outside 0 to 100, the value ships unclipped with a flag.

Leakage discipline is documented, not assumed. All window features are trailing and unshifted, standard COT index practice, and the data dictionary ships an explicit leakage note showing correct lagging and target shifting for forecasting use.

Cadence and limits

Report dates are usually Tuesday close, released usually Friday afternoon; 163 report dates are not Tuesdays, from the early non weekly history and holiday shifts, so never assume release equals report date plus three days. The 1986 to 1992 era is biweekly: sparse early years are cadence, not gaps. This is positioning data only, with no prices; the markets reference provides join keys and you bring your own price data. Trader categories are regulatory classifications from CFTC filings, not strategy labels.