If you are a currency trader it can be quite annoying when you cannot access volume data as you can in other markets. This can be instrumental to ones success if your strategy from another insrument outside of Forex requires some type of volume indicator. Although it is not perfect you can use the futures market COT or Commitment of Traders report to gauge this.
Since 2000 the COT reports are released weekly. However, you must keep in mind the reports are released on Friday but reflect data from Tuesday. As the reports are closed off on Tuesday but not published until 3 days later.
When it comes to the COT report there are a few different sections that are valuable:
Commercial: These are organizations that use the futures market to hedge their positions. They are not traders by nature. They only use futures to guarantee their profits for the future.
Non-Commercial: These are the speculators who trade the futures market for a living. They include hedge funds and other individuals who speculate the market and make the requirements that are set by the CFTC.
Reportable: Positions held above specific reporting levels set by the CFTC.
Non-Reportable: These are individuals or organizations who do not meet the minimum requirements set forth by the CFTC to be categorized.
Open Interest: The open interest is the amount of futures or options contracts which are not offset by another transaction.
The Whittaker COT Index Variant-A is an MT4 indicator. Basically what it will do is go through the data from the COT report and extract the above sections. It will then as a percentage let you know how many traders are long in each category.
To use this indicator you must visit the CFTC website and weekly download the updated report. Here is a link to the report that must be downloaded, http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm
Use the image below to make sure you’re downloading the correct link. Save this file to C:\Program Files (x86)\Interbank FX Trader 4\experts\files.
Once you download this file it must be converted to CSV format for MetaTrader to read it. You can do this by opening the file located at C:\Program Files (x86)\Interbank FX Trader 4\experts\files\annual.xls with Microsoft Excel. Once it is open in Excel go to file>save as. From the save as type window select CSV(Comma Delimited) (*.csv). You will want to name the file annual.xls.csv this by default is what Whitaker COT Index will be looking for.
The actual Whittaker COT Index variant-A can be downloaded here. Save the file to C:\Program Files (x86)\Interbank FX Trader 4\experts Once the file is downloaded simply add it to your chart.