Commitment of Traders
Order Flow Analysis glossary · Absorption, Exhaustion & Imbalances
Definition
In the footprint-chart context — distinct from the CFTC's weekly Commitments of Traders report — the COT is the single price level within a bar at which the maximum total volume traded, defined as P_COT = argmax_P_i(V_bid,i + V_ask,i). The COT's position relative to the bar's range and close direction is diagnostic of which side won the auction inside the bar.
Commitment of Traders in plain English
Despite sharing a name with a famous government report, here the Commitment of Traders (COT) just means the one price inside a bar where the most total trading happened — the busiest price, where buyers and sellers were most committed. In formula form it's P_COT = argmax_P_i(V_bid,i + V_ask,i), which is just a fancy way of saying 'find the price row with the biggest combined volume.' Why care? Where that heaviest activity sits within the bar — near the top, bottom, or toward the close — tells you which side ultimately controlled the fight, kind of like spotting where the biggest crowd gathered at a rally to guess who really had the momentum.
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