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chore: add contract name examples / bump up version
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philsv committed Jul 19, 2023
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Expand Up @@ -19,9 +19,9 @@ pip install pycot-reports
from pycot import legacy_report, disaggregated_report, financial_report
```

Lets have a look at an example.
Lets have a look at some examples.

### Legacy Report
### Legacy Report (All Contracts)

```python
from pycot import legacy_report
Expand All @@ -33,12 +33,12 @@ Output Example:

```ini
Contract Name Open Interest ... Net Change, Large Spec Net % of OI, Large Spec
Date ...
2023-05-30 FED FUNDS - CHICAGO BOARD OF TRADE 1855851.0 ... -91660.0 -9.7
2023-05-23 FED FUNDS - CHICAGO BOARD OF TRADE 1735674.0 ... -20924.0 -5.1
2023-05-16 FED FUNDS - CHICAGO BOARD OF TRADE 1585578.0 ... 7746.0 -4.3
2023-05-09 FED FUNDS - CHICAGO BOARD OF TRADE 1502281.0 ... -35180.0 -5.0
2023-05-02 FED FUNDS - CHICAGO BOARD OF TRADE 1483670.0 ... 50471.0 -2.7
Date ...
2023-07-11 FED FUNDS - CHICAGO BOARD OF TRADE 1440370.0 ... -58101.0 -11.5
2023-07-03 FED FUNDS - CHICAGO BOARD OF TRADE 1414525.0 ... -17553.0 -7.5
2023-06-27 FED FUNDS - CHICAGO BOARD OF TRADE 1746984.0 ... 12437.0 -5.1
2023-06-20 FED FUNDS - CHICAGO BOARD OF TRADE 1693141.0 ... 84512.0 -6.0
2023-06-13 FED FUNDS - CHICAGO BOARD OF TRADE 1556681.0 ... 60704.0 -12.0
... ... ... ... ... ...
1993-03-23 30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE 11298.0 ... 106.0 9.1
1993-03-16 30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE 11015.0 ... -8.0 8.3
Expand All @@ -48,12 +48,69 @@ Date ...
...
```

### Disaggregated Report (Commodities)

```python
from pycot import disaggregated_report
contract_name = ("BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE", "BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE EXCHANGE")
df = disaggregated_report("disaggregated_futopt", contract_name)
```

Output Example:

```ini
Contract Name Open Interest ... Net Change Managed Money Net % of OI Managed Money
Date ...
2023-07-11 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 138358.0 ... -2134.0 -2.9
2023-07-03 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 130715.0 ... 9436.0 -1.4
2023-06-27 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 153190.0 ... -6135.0 -7.4
2023-06-20 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 148800.0 ... 2367.0 -3.5
2023-06-13 BRENT LAST DAY - NEW YORK MERCANTILE EXCHANGE 147598.0 ... -3872.0 -5.1
... ... ... ... ...
2011-04-12 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 20546.0 ... -484.0 17.1
2011-04-05 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 19533.0 ... 655.0 20.4
2011-03-29 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 18178.0 ... -276.0 18.4
2011-03-15 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 20233.0 ... 231.0 17.9
2011-03-08 BRENT CRUDE OIL LAST DAY - NEW YORK MERCANTILE... 19639.0 ... NaN 17.3
...
```

### Financial Report (Financial Instruments)

```python
from pycot import financial_report
contract_name = ("UST 10Y NOTE - CHICAGO BOARD OF TRADE", "10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE", "10 YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE")
df = financial_report("traders_in_financial_futures_fut", contract_name)
```

Output Example:

```ini
df
Contract Name Open Interest ... Net Change Lev Money Net % of OI Lev Money
Date ...
2023-07-11 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4800091.0 ... 155532.0 -26.8
2023-07-03 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4737762.0 ... 7710.0 -30.4
2023-06-27 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4663919.0 ... -51457.0 -31.1
2023-06-20 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4641767.0 ... -53136.0 -30.2
2023-06-13 UST 10Y NOTE - CHICAGO BOARD OF TRADE 4619668.0 ... 69602.0 -29.1
... ... ... ... ... ...
2006-07-11 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2112145.0 ... 28199.0 1.8
2006-07-03 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2136459.0 ... -18122.0 0.5
2006-06-27 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2194364.0 ... 13929.0 1.3
2006-06-20 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 2097072.0 ... -27203.0 0.6
2006-06-13 10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF... 1912279.0 ... NaN 2.2
...
```

## Contract Names

The only tricky part is the contract name.

You can find the contract name in the [CFTC Commitment of Traders](https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm) reports. The contract name is the first column in the report.

You can also find a curated list of contract names in the [contract_names.json](https://github.com/philsv/pycot/tree/main/pycot/data/contract_names.json)

## Release Shedule

The CFTC [releases](https://www.cftc.gov/MarketReports/CommitmentsofTraders/ReleaseSchedule/index.htm) the reports every Friday at 3:30pm Eastern Time.
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