COTOpenInterestDisaggregated
The installation of the Technical Analysis Package is required in order to access this indicator.
Description
This indicator corresponds to the mode of operation of the COTOpenInterestLegacy, instead using, however, the more finely broken down data of the disaggregated reports. For the functionality and interpretation of the open interest, please read more under see COTOpenInterestLegacy. The calculation also occurs analogously to the legacy reports, and since for each long contract, there must also be a market participant on the short side, two calculation methods are possible (here for commodity futures):
1) Producer[Long] + SwapDealer[Long] + SwapDealer[Spread] + ManagedMoney[Long] + ManagedMoney[Spread] + OtherReportables[Long] + OtherReportables[Spread] + NonReportable[Long] = OpenInterest
2) Producer[Short] + SwapDealer[Short] + SwapDealer[Spread] + ManagedMoney[Short] + ManagedMoney[Spread] + OtherReportables[Short] + OtherReportables[Spread] + NonReportable[Short] = OpenInterest
The following parameters are available for the COTOpenInterestDisaggregated:
Categories: Commodity
OpenInterest_Comm: (=total OpenInterest for Commodities)
[Absolute]: outputs the OpenInterest as an absolute number
[Stochastic]: OpenInterest as an oscillator with values between 0-100
[None]: no output for the OpenInterest.
%ofOIProd Long/Short/Spread: (=Percent of OpenInterest for Producer Long/Short/Spread – Position) – select [True] if this value should be displayed. This here is the percentage that the positions of the producers have of the overall OpenInterest. A value of 0.5, for example, means that the producers have built up long positions in the size of 50% of the entire OpenInterest.
%ofOISwapDealer Long/Short/Spread: (=Percent of OpenInterest for SwapDealers Long/Short/Spread – Position) – select [True] if this value should be displayed.
%ofOIManagedMoney Long/Short/Spread: (=Percent of OpenInterest for ManagedMoney Long/Short/Spread – Position) – select [True] if this value should be displayed.
%ofOIComOther Long/Short/Spread: (=Percent of OpenInterest for Other Traders in Commodities Long/Short/Spread – Position) – select [True] if this value should be displayed.
%ofOIComNonreportables Long/Short/Spread: (=Percent of OpenInterest for NonReportables in Commodites Long/Short/Spread – Position) select [True] if this value should be displayed.
Categories: Financial
All parameters work analogously to the settings under “Categories: Commodity”; the only difference lies in the division into various groups of market participants
Data base:
CotType: COTReportLegacy - CotType
ReportType: COTReportLegacy - ReportType
StochasticPeriod: COTReportLegacy – ComparativePeriod
Parameters
to be announced
Return value
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Usage
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Visualization
Example
to be announced
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