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COTIndex OTC

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Ali Aodah
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27 views2 pages

COTIndex OTC

Uploaded by

Ali Aodah
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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// Users & Producers: Commercial Positions

// Large Specs (Hedge Fonds): Non-commercial Positions


// Retail: Non-reportable Positions

//@version=5
int weeks = input.int(26, "Number of weeks", minval=1)
int upperExtreme = input.int(80, "Upper Threshold in %", minval=50)
int lowerExtreme = input.int(20, "Lower Threshold in %", minval=1)
bool hideCurrentWeek = input(true, "Hide the current week until market close")
bool markExtremes = input(false, "Mark long and short extremes")
bool showSmallSpecs = input(true, "Show small speculators index")
bool showProducers = input(true, "Show producers index")
bool showLargeSpecs = input(true, "Show large speculators index")
indicator("COT INDEX", shorttitle="COT INDEX", format=format.percent, precision=0)

import TradingView/LibraryCOT/2 as cot

// Function to fix some symbols.


var string Root_Symbol = syminfo.root
var string CFTC_Code_fixed = cot.convertRootToCOTCode("Auto")
if Root_Symbol == "HG"
CFTC_Code_fixed := "085692"
else if Root_Symbol == "LBR"
CFTC_Code_fixed := "058644"

// Function to request COT data for Futures only.


dataRequest(metricName, isLong) =>
tickerId = cot.COTTickerid('Legacy', CFTC_Code_fixed, false, metricName, isLong
? "Long" : "Short", "All")
value = request.security(tickerId, "1D", close, ignore_invalid_symbol = true)
if barstate.islastconfirmedhistory and na(value)
runtime.error("Could not find relevant COT data based on the current
symbol.")
value

// Function to calculate net long positions.


netLongCommercialPositions() =>
commercialLong = dataRequest("Commercial Positions", true)
commercialShort = dataRequest("Commercial Positions", false)
commercialLong - commercialShort

netLongLargePositions() =>
largeSpecsLong = dataRequest("Noncommercial Positions", true)
largeSpecsShort = dataRequest("Noncommercial Positions", false)
largeSpecsLong - largeSpecsShort

netLongSmallPositions() =>
smallSpecsLong = dataRequest("Nonreportable Positions", true)
smallSpecsShort = dataRequest("Nonreportable Positions", false)
smallSpecsLong - smallSpecsShort

calcIndex(netPos) =>
minNetPos = ta.lowest(netPos, weeks)
maxNetPos = ta.highest(netPos, weeks)
if maxNetPos != minNetPos
100 * (netPos - minNetPos) / (maxNetPos - minNetPos)
else
na

// Calculate the Commercials Position Index.


commercialsIndex = calcIndex(netLongCommercialPositions())
largeSpecsIndex = calcIndex(netLongLargePositions())
smallSpecsIndex = calcIndex(netLongSmallPositions())

// Conditional logic based on user input


plotValueCommercials = hideCurrentWeek ? (timenow >= time_close ?
commercialsIndex : na) : (showProducers ? commercialsIndex : na)
plotValueLarge = hideCurrentWeek ? (timenow >= time_close ? largeSpecsIndex : na) :
(showLargeSpecs ? largeSpecsIndex : na)
plotValueSmall = hideCurrentWeek ? (timenow >= time_close ? smallSpecsIndex : na) :
(showSmallSpecs ? smallSpecsIndex : na)

// Plot the index and horizontal lines


plot(plotValueCommercials, "Commercials", color=color.blue, style=plot.style_line,
linewidth=2)
plot(plotValueLarge, "Large Speculators", color=color.red, style=plot.style_line,
linewidth=1)
plot(plotValueSmall, "Small Speculators", color=color.green, style=plot.style_line,
linewidth=1)
hline(upperExtreme, "Upper Threshold", color=color.green,
linestyle=hline.style_solid, linewidth=1)
hline(lowerExtreme, "Lower Threshold", color=color.red,
linestyle=hline.style_solid, linewidth=1)

/// Marking extremes with background color


bgcolor(markExtremes and (commercialsIndex >= upperExtreme or largeSpecsIndex >=
upperExtreme or smallSpecsIndex >= upperExtreme) ? color.new(color.gray, 90) : na,
title="Upper Threshold")
bgcolor(markExtremes and (commercialsIndex <= lowerExtreme or largeSpecsIndex <=
lowerExtreme or smallSpecsIndex <= lowerExtreme) ? color.new(color.gray, 90) : na,
title="Lower Threshold")

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