cotcube-cftcsource

cotcube-cftcsource

This gem provides a module containing a set of methods to download, maintain, provide and analyze the COT data issued by the CFTC. It is part of the Cotcube suite.

Installation

Add this line to your application's Gemfile:

gem 'cotcube-cftcsource'

And then execute:

$ bundle install

Or install it yourself as:

$ gem install cotcube-cftcsource

Usage

Configuration

The gem expects a configfile 'cftcsource.yml', located in '/etc/cotcube/' on linux platform and '/usr/local/etc/cotcube/' on FreeBSD. The location of the configfile can be overwritten by passing the according parameter to init.

Following parameters are currently supported (please let me know if something is missing):

data_path: 'path where the raw downloaded data is saved and other data is cached'
symbols_file: 'A file containing a CSV with supported symbols--if ommited, an example set from constants.rb is used'
headers_path: 'Where the CSV headers for cot data and signal sets are cached.'
default_lookback: 'the amount of weeks to be used for indicators in signal processing'
default_set: 'the name of the indicator set to be used (as saved in etc/cotcube/indicators-<default_set>.rb)

constants.rb

Basically sets up 3 constants:

1. CFTC_LINKS contains all URLs to download all zipped COT reports from cftc.gov
2. CFTC_HEADERS provides lists of symbols serving as headers for the CSV-saved COT data.
3. CFTC_SYMBOL_EXAMPLES contains 2 sets of configuration data. Each set has the following structure:

• id: The CFTC id of the future.
• symbol: Some verbal, unambiguous short identifier for this future.
• ticksize:
• power: The leverage per tick.
• months: The set of trading months.
• bcf: A legacy constant, it is '1.0' in almost most cases.
• reports: uppercase letters, signaling which reports are available for the futures (Legacy, Financial, Disaggregated and Cit)
• name:

init.rb

fetch and distribute

CftcSource.fetch downloads and unzips all COT-packages from CFTC.gov matching the :year parameter, defaulting to the current year. Please see https://cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm for which year parameters are available.

CftcSource.distribute breaks down the packages into the separated ID based directory tree.

NOTE: When building from scratch you should fetch and distribute all packages in proper annual order, as each run just updates data after the last available record.

provide.rb

Returns the requested series of raw COT data for given either :symbol or :id. The parameter :subset currently filters for 'std_count', a further implementation is pending. If :subset is set to false, the complete series is returned.

series.rb

Based on the data returned by CftcSource.provide and the given indicator set, a series is created, cached and returned.

The default indicator simply calculates the net positions for pairs of _long and _short. Other indicator sets can be created. A simple example is in etc/cotcube/indicators-example.rb.

Development

After checking out the repo, run bin/setup to install dependencies. Then, run rake spec to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.

To install this gem onto your local machine, run bundle exec rake install. To release a new version, update the version number in version.rb, and then run bundle exec rake release, which will create a git tag for the version, push git commits and tags, and push the .gem file to rubygems.org.

Contributing

Bug reports and pull requests are welcome on GitHub at https://github.com/donkeybridge/bitangent.

License

The gem is available as open source under the terms of the MIT License.