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Will COT (Commitment of Traders) functions work with MultiWalk?

Strategies that attempt to call COT (Commitment of Traders) functions in TradeStation will not optimize in TradeStation and have unpredicable results.  There may be unusual and misleading TradeStation errors, hangs, or even complete crashes of the platform.

See this discussion on TradeStation:  https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=158964

One user ran into a very misleading error message from TradeStation when attempting to optimize a strategy that used TradeStation’s COT functions.  They were using LIBB and received this error from TradeStation when running MultiWalk:

When the COT functions were removed from the code, the error did not occur.

There are three possible work-arounds:

  1. It may be possible to create your own COT functions that uses the FundamentalQuotesProvider object.  The user Vista-Research on TradeStation forum seems to have accmoplished this, but it would take advanced programming expertise to implement. Or, contact Vista-Research and ask. 🙂
  2. Create a TradingApp or Strategy (attached to a chart) that calls TS COT functions and writes results to a text file.  Run this each week. Then, in the strategy you want to optimize, load the text file and create your own COT search function to retrieve historical COT data.
  3. Create your own COT function that includes historical and current COT data in a table or IF statements. This would need to be updated each week.  Call this function from your optimized strategy. see
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