There are several variations of the COT report. The Legacy report type is the oldest and most commonly used. There are several newer disaggregated report types that break traders down into further classifications, and can be used to increase market transparency. The COT Indicator Suite for MetaTrader supports all COT report types.
Each of the COT report types are available with Futures and Futures-and-Options-Combined data. The only difference is that the Futures-and-Options-Combined reports contain additional information from options instruments.
Legacy format
The Legacy report format is the oldest and the most popular. It contains all reportable futures instruments, including commodities, currencies, metals and stock indices. Weekly report data is available as far back as 2000. Many published COT trading strategies are based on the Legacy report.
- Non-Commercial – These are banks, funds and large speculators who generally follow the direction of the market.
- Commercial – These are producers or users of the specified commodity who use the futures market to hedge against risk. Commercial positions typically mirror Non-Commercial positions.
- Non-Reportable – These are traders whose positions are not large enough to be reported in the above two categories. This is calculated by subtracting the total reportable positions from the open interest.
Traders in Financial Futures format
The Traders in Financial Futures (TiFF) report format is a disaggregated report that breaks down non-commercial traders into more clearly defined categories. The TiFF report contains financial futures, including currencies and stock indices. For commodities and metals, please see the Disaggregated report below.
TiFF data is available as far back as mid-2006. There are few, if any published trading strategies that use the TiFF report, so it will be up to the trader to determine how to best trade this report. For more information on the TiFF report, see the TiFF Explanatory Notes document from the CFTC.
- Dealer/Intermediary – These are large banks and dealers in securities and derivatives.
- Asset Manager/Institutional – These are institutional investors, such as pension and mutual funds.
- Leveraged Funds – These comprise hedge funds and other large speculators.
- Other Reportables – Any reportable positions that don?t belong in the above categories.
- Non-Reportable – The difference between the reportable positions and the open interest.
Disaggregated format
The Disaggregated report is similar to the TiFF report, except that it contains only commodities. Currencies and stock indices are contained on the TiFF report above. The categories on the Disaggregated report break down commercial traders into more discrete categories. For more information on the Disaggregated report, see the Disaggregated Explanatory Notes from the CFTC.
- Producer/Merchant/Processor/User – Producers and users of the specified commodity that use the futures market to hedge against risk.
- Swap Dealer – An entity that deals in swaps for a commodity, and uses the futures market to hedge against risk.
- Managed Money – Large speculators, such as institutional traders and funds.
- Other Reportable – Reportable positions that do not fall into one of the above categories.
- Non-Reportable – Calculated by subtracting the total reportable positions from the open interest.