| --- |
| license: cc-by-4.0 |
| pretty_name: CFTC Commitments of Traders Weekly Panel |
| tags: |
| - finance |
| - economics |
| - commitments-of-traders |
| - cftc |
| - futures |
| - positioning |
| - time-series |
| size_categories: |
| - 1M<n<10M |
| source_datasets: |
| - original |
| configs: |
| - config_name: cot_panel_long |
| data_files: |
| - split: train |
| path: cot_panel_long.parquet |
| - config_name: cot_features_weekly |
| data_files: |
| - split: train |
| path: cot_features_weekly.parquet |
| - config_name: markets_reference |
| data_files: |
| - split: train |
| path: markets_reference.parquet |
| - config_name: release_anomaly_calendar |
| data_files: |
| - split: train |
| path: release_anomaly_calendar.parquet |
| --- |
| |
| # CFTC Commitments of Traders weekly panel |
|
|
| Every CFTC Commitments of Traders report family in one tidy, model ready weekly |
| panel: harmonized positions, net positioning and COT index features, a market |
| reference map, and documented release provenance, from 1986 to last Friday, in |
| Parquet and CSV. |
|
|
| ## Dataset structure |
|
|
| Four tables, each its own named config (different schemas, never concatenated): |
|
|
| - `cot_panel_long`: the tidy long panel, one row per (report_date, contract |
| code, report family, basis, trader category). |
| - `cot_features_weekly`: the model ready wide table, one row per report, with |
| open interest and its change, concentration ratios (plus a source anomaly |
| flag), and per category net position, net share of open interest, change |
| from the prior report, COT index over 52 and 156 reports, and a 156 report |
| z score. Windows partition on `market_key`, the reviewed contract |
| coherence surrogate. |
| - `markets_reference`: one row per contract code and family. |
| - `release_anomaly_calendar`: documented publication and methodology events. |
|
|
| ```python |
| from datasets import load_dataset |
| |
| panel = load_dataset("Arimancy/cftc-cot-weekly", "cot_panel_long") |
| feats = load_dataset("Arimancy/cftc-cot-weekly", "cot_features_weekly") |
| ``` |
|
|
| Load a table by config name. Full column documentation, category definitions, |
| the cadence by year table, the dropped columns appendix, and the leakage note |
| are in the included `data_dictionary.md`. |
|
|
| ## Why this exists |
|
|
| The CFTC publishes COT across several report families with different start |
| dates, schemas, and filename conventions, and its own FAQ notes the data has no |
| primary key. This dataset reconciles four decades of schema drift into one |
| schema and makes the release history explicit. The October to December 2025 |
| appropriations lapse, when publication stopped for six weeks and was backfilled |
| in December, is a reminder that when a number was released is part of the data. |
|
|
| ## Caveats |
|
|
| - Positioning data only. No prices. The market reference map provides join keys; |
| users bring their own price data under their own licenses. |
| - Trader classification is self reported business purpose on CFTC Form 40, |
| subject to CFTC reclassification. Categories are regulatory classifications, |
| not strategy labels. |
| - report_date is the as of date published by the CFTC, usually Tuesday close; |
| 163 dates are not Tuesdays (the early non weekly history plus holiday |
| shifts). The report_weekday and is_standard_tuesday columns make the |
| exceptions filterable. Releases are usually Friday 3:30 pm ET, shift around |
| holidays, and are irregular during documented events. Use the release |
| anomaly calendar; never assume report_date plus three days. |
| - The October to December 2025 window: report_dates are complete after the |
| chronological backfill, but original release timing was interrupted. |
| - Early history cadence is not weekly; see the cadence by year table. |
| - Combined basis converts options to futures equivalents using exchange supplied |
| deltas (CFTC methodology). |
| - Nonreportable is a derived residual (open interest minus reportable positions); |
| trader counts do not exist for it. |
| - Contract consolidation methodology has changed over time per CFTC |
| announcements; the panel reports what the CFTC published for each date. |
| - CFTC reuses contract market codes. Where a code splices two different |
| underlying contracts, the features table separates them with a market_key so |
| window features never blend them. |
| |
| ## Attribution and license |
| |
| Source: CFTC Commitments of Traders reports (US Government work, public domain). |
| This product is not endorsed by or affiliated with the CFTC. Published by |
| **Arimancy LLC** under CC BY 4.0; the license text and the attribution target |
| ship in the package as `LICENSE.txt`. Dataset page: |
| [arimancy.com/datasets/cftc-commitments-of-traders-weekly](https://arimancy.com/datasets/cftc-commitments-of-traders-weekly). |
| |
