Help with COT report release dates

Discussion in 'Strategy Development' started by icash55, Mar 13, 2007.

  1. icash55


    I am writing an indicator to use COT report data in backtesting and encountered a problem: unfortunately the historical COT data files at do not contain report release dates, which can be important information when doing backtesting. Without this info I cannot know for sure when the data was updated (usually Friday, sometimes Monday).
    I tried to use the Federal Holidays calendar at to calculate the Fridays which are exceptions, but the dates there don't make sense when comparing with the current COT calendar for 2007.

    Emailed them. Got a reply saying there is no list of release dates and there are no plans to keep such a data table.
    The calendar at goes back only to November 27, 2006.

    Maybe someone can help me? I need only the dates when the releases were not on Friday, back to year 2000 would be nice.

    When backtesting do you think it's safe to asume the data will be updated at 3:35 pm (5 minutes after official update time) or should I be more conservative? Last time I tested the data (.txt format) was updated on website ~1 minute after official time.

    Thank you
  2. chartie


    I believe you should use the Market Holiday Calendar instead of the Federal one. For example, Good Friday has been a market holiday but not a Federal one (and probably never will be, if you know what I mean :) ).

    Historical Market Holidays 1885-2007

    Regarding the data updating time, I remember there were times the data was released after market’s close.
  3. icash55


    Just compared with available COT calendar history (

    Nov. 24, 2006 (Fri, Closed at 1:00 pm. Day after Thanksgiving Day) -> COT report moved to Monday = OK

    But there is no January 5 in holiday list, only January 2. COT report was delayed to Monday January 8, 2007.

    Still these dates are not clear.

  4. The COT reports are released on Friday. Where Friday is a holiday, it will be released on the next working day.

    But which day it is released is not important as the numbers are always as of the Tuesday of the week. For example, this week. The numbers submitted will be as of Tue, Mar13 and the report will be released this Fri Mar16.

    The numbers are submitted by FCMs and/or etc. to the CFTC as of every Tuesday. The CFTC then compile the numbers and release them Friday afternoon. If you download the CSV text files, you will see the dates the numbers are submitted are.
  5. icash55


    Doesn't explains why it was delayed from Friday, January 5, 2007 to Monday. No holiday at January 5 in previsouly mentioned holiday lists.

    Important for backtesting. By knowing the release dates positions can be opened sooner, without guessing "was that data already available at that time?".
  6. Well, if we get ourselves to understand how the CFTC get the work done, it is really not that difficult to understand why. As I have tried to explain earlier, they need some time to get the numbers compiled after they were submitted to them as of Tuesday position. For Jan2007, we all know that Monday Jan1 is a holiday. Tuesday Jan2 is rememberance day for the passing of former US President Gerald Ford (hey, I am not American and I know this) so the numbers for that week had to be sumbitted later.

    I don't want to question the logic here as in trading, almost everything is a personal preference. But somthing here I think I won't understand... never mind. I can only help so much with what info I know.

    By the way, going further back, the numbers were released much later and may not be on Fridays. You have to check this out from the CFTC website.
  7. icash55


    ChoSingKum: I showed you 1 exception, but there are probably more. Without knowing the strict rules I cannot calculate these dates correctly. I doubt they can even be calculated.
  8. chartie


    Have you noticed there is NO * next to Monday January 8, 2007 in COT’s calendar? – It was NOT caused by a market holiday.

    Maybe their server was down... maybe the guy in charge was still on vacation... :)

    Actually I agree with ChoSingKum, and I’m not saying the data release dates shouldn’t be important to you. But the world is too far from a perfect one and this kind of data “mess-up” by gov is probably the least “messy” one we’ve seen...
  9. icash55


    chartie: No, I didn't really noticed the missing '*'. That's a possible explanation.
    Let's better not argue. Surely a few incorrect dates won't cause a critical error. As ChoSingKum correctly said it's about personal preference. I prefer to work with clean, accurate data :) If no one can share the real dates I'll just use the Market Holiday Calendar to filter the Fridays (thanks BTW, good stuff).
  10. icash55


    CFTC site says "Due to federal holidays, reports may be released one day later. Please recall that Good Friday is not a federal holiday.". That needs to be considered.
    #10     Mar 15, 2007