Commitment of Traders

Order Flow Analysis Glossary

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.

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