CFTC Commitments of Traders (COT)

CFTC Commitments of Traders (COT) is a weekly report published by the U.S. Commodity Futures Trading Commission (CFTC). Each release gives aggregate open futures positions (a separate version covers futures and options combined), broken down by trader category for each reported market. Positions are measured as of Tuesday and released the following Friday. The data is free, public, and needs no API key. Used in, for example, Siriwardane, Sunderam & Wallen, where it supplies weekly position quantities by dealer, hedge fund, and asset-manager type for futures-based trades.

• Cost: free, public.
• API key: none required.
• Coverage: weekly aggregate positions by trader category. The Traders in Financial Futures (TFF) report runs from June 2010 onward; the Legacy report goes back to 1986, with some series earlier.
• Home: https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm

Access

Historical annual files are compressed and live under https://www.cftc.gov/files/dea/history/. The paper above uses the Traders in Financial Futures (TFF) report, futures-only. Download one year directly, no authentication:

# Financial-futures (TFF), futures-only, 2023 history file, no key
curl -sL -o fut_fin_txt_2023.zip \
  "https://www.cftc.gov/files/dea/history/fut_fin_txt_2023.zip"
unzip fut_fin_txt_2023.zip   # -> FinFutYY.txt  (~2.1 MB)

The archive unzips to a single text file, FinFutYY.txt, holding the financial-futures, futures-only data for that year.

The filename encodes the report family and version: fut_fin_txt_<year>.zip is financial-futures (TFF), futures-only. The combined (futures and options) version and the other report families (Legacy, Disaggregated, Supplemental) use different prefixes under the same /files/dea/history/ directory. List that directory to find the exact file you need before downloading.

Load in Python

import pandas as pd

df = pd.read_csv(
    "FinFutYY.txt",
    dtype=str,           # read as str first; cast after inspecting the schema
    low_memory=False,
)

# The TFF position columns hold counts of contracts by trader category, e.g.
# Dealer/Intermediary, Asset Manager/Institutional, Leveraged Funds,
# Other Reportables, plus a Nonreportable residual.

Inspect the header row to confirm the exact column names for the vintage you pulled; the layout differs across report families.

Gotchas (the ones that bite pipelines)

• Futures-only versus futures-and-options-combined are different files. They live under different filenames in the same directory. Pick one deliberately and do not mix the two in a single series.
• Dated Tuesday, released Friday. The snapshot is measured as of Tuesday but published the following Friday. Align event windows to the Tuesday “as of” date, not the release date, or you bake in a reporting lag.
• Nonreportable is a residual, not a measured group. The report counts only reportable positions. The Nonreportable figure is what is left over after the reportable categories, not a surveyed trader type.
• Classification is self-reported and can change. Traders report their own category to the CFTC and can be reclassified over time. A category’s series is not a fixed set of firms across the sample.
• Each row aggregates across all contract months. A row covers a whole market, not a single contract month, so the data is not contract-month-level.
• TFF covers financial futures only. Interest rates, FX, and equity indices are in TFF. Physical commodity markets (energy, metals, agriculture) are in the Disaggregated report, not TFF. Use the report family that matches the market.
• Market identifiers differ across report families. Contract-market names and codes are not consistent between Legacy, Disaggregated, and TFF; build a mapping before joining across families or to other datasets.

Report families

Family	Trader categories	History
Legacy	Commercial, Non-Commercial, Nonreportable	from 1986, some series earlier
Disaggregated	Producer/Merchant, Swap Dealers, Managed Money, Other Reportables (physical commodity markets)	from 2006
Traders in Financial Futures (TFF)	Dealer/Intermediary, Asset Manager/Institutional, Leveraged Funds, Other Reportables, plus Nonreportable residual (financial futures)	from June 2010
Supplemental	Index trader breakout for selected agricultural markets	from 2006

Citation

Cite the CFTC, the COT report family used, the year or history file, the URL, and the access date, for example: U.S. Commodity Futures Trading Commission, Commitments of Traders, Traders in Financial Futures (futures-only), 2023 history file, retrieved from https://www.cftc.gov/files/dea/history/, accessed YYYY-MM-DD. Record the report family and futures-only-versus-combined choice so the pull is reproducible.