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Fix COT pipeline: TRY_CAST nulls, dim_commodity leading zeros, correct CFTC codes

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- config.yaml: remove ambiguousorinvalidcolumn linter rule (false positives on read_csv TVFs)
- fct_cot_positioning: use TRY_CAST throughout — CFTC uses '.' as null in many columns
- raw/cot_disaggregated: add columns() declaration for 33 varchar cols
- dim_commodity: switch from SEED to FULL model with SQL VALUES to preserve leading zeros
  Pandas auto-converts '083' → 83 even with varchar column declarations in SEED models
- seeds/dim_commodity.csv: correct cftc_commodity_code from '083731' (contract market code)
  to '083' (3-digit CFTC commodity code); add CSV quoting
- test_cot_foundation.yaml: fix output key name, vars for time range, partial: true,
  and correct cftc_commodity_code to '083'
- analytics.py: COFFEE_CFTC_CODE '083731' → '083' to match actual data

Result: serving.cot_positioning has 685 rows (2013-01-08 to 2026-02-17), 23/23 tests pass.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Deeman
2026-02-20 23:22:46 +01:00
parent 0a83b2cb74
commit 2962bf5e3b
7 changed files with 126 additions and 80 deletions
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4
transform/sqlmesh_materia/config.yaml
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@@ -29,7 +29,9 @@ model_defaults:
linter:
enabled: true
rules:
- ambiguousorinvalidcolumn
# ambiguousorinvalidcolumn removed: sqlglot cannot introspect read_csv() TVF
# schemas at lint time, causing false positives on all raw models. Cross-model
# column validation is handled by SQLMesh at plan time via columns() declarations.
- invalidselectstarexpansion
# --- Default Target Environment ---

25
transform/sqlmesh_materia/models/foundation/dim_commodity.sql
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@@ -1,24 +1,23 @@
-- Commodity dimension: conforms identifiers across source systems.
--
-- This is the ontology seed. Each row is a commodity tracked by BeanFlows.
-- This is the ontology. Each row is a commodity tracked by BeanFlows.
-- As new sources are added (ICO, futures prices, satellite), their
-- commodity identifiers are added as columns here — not as separate tables.
-- As new commodities are added (cocoa, sugar), rows are added here.
--
-- References:
-- usda_commodity_code → raw.psd_alldata.commodity_code
-- cftc_commodity_code → raw.cot_disaggregated.cftc_commodity_code
-- usda_commodity_code → raw.psd_alldata.commodity_code (numeric string, e.g. '0711100')
-- cftc_commodity_code → raw.cot_disaggregated.cftc_commodity_code (3-char, e.g. '083')
--
-- NOTE: Defined as FULL model (not SEED) to guarantee leading-zero preservation.
-- Pandas CSV loading converts '083' → 83 even with varchar column declarations.
MODEL (
name foundation.dim_commodity,
kind SEED (
path '$root/seeds/dim_commodity.csv',
csv_settings (delimiter = ';')
),
columns (
usda_commodity_code varchar,
cftc_commodity_code varchar,
commodity_name varchar,
commodity_group varchar
)
kind FULL
);
SELECT usda_commodity_code, cftc_commodity_code, commodity_name, commodity_group
FROM (VALUES
('0711100', '083', 'Coffee, Green', 'Softs')
) AS t(usda_commodity_code, cftc_commodity_code, commodity_name, commodity_group)

79
transform/sqlmesh_materia/models/foundation/fct_cot_positioning.sql
View File

@@ -29,63 +29,64 @@ WITH cast_and_clean AS (
trim(contract_units) AS contract_units,
-- Open interest
open_interest_all::int AS open_interest,
-- CFTC uses '.' as null for any field — use TRY_CAST throughout
TRY_CAST(open_interest_all AS int) AS open_interest,
-- Producer / Merchant (commercial hedgers: exporters, processors)
prod_merc_positions_long_all::int AS prod_merc_long,
prod_merc_positions_short_all::int AS prod_merc_short,
TRY_CAST(prod_merc_positions_long_all AS int) AS prod_merc_long,
TRY_CAST(prod_merc_positions_short_all AS int) AS prod_merc_short,
-- Swap dealers
swap_positions_long_all::int AS swap_long,
swap_positions_short_all::int AS swap_short,
swap_positions_spread_all::int AS swap_spread,
TRY_CAST(swap_positions_long_all AS int) AS swap_long,
TRY_CAST(swap_positions_short_all AS int) AS swap_short,
TRY_CAST(swap_positions_spread_all AS int) AS swap_spread,
-- Managed money (hedge funds, CTAs — the primary speculative signal)
m_money_positions_long_all::int AS managed_money_long,
m_money_positions_short_all::int AS managed_money_short,
m_money_positions_spread_all::int AS managed_money_spread,
TRY_CAST(m_money_positions_long_all AS int) AS managed_money_long,
TRY_CAST(m_money_positions_short_all AS int) AS managed_money_short,
TRY_CAST(m_money_positions_spread_all AS int) AS managed_money_spread,
-- Other reportables
other_rept_positions_long_all::int AS other_reportable_long,
other_rept_positions_short_all::int AS other_reportable_short,
other_rept_positions_spread_all::int AS other_reportable_spread,
TRY_CAST(other_rept_positions_long_all AS int) AS other_reportable_long,
TRY_CAST(other_rept_positions_short_all AS int) AS other_reportable_short,
TRY_CAST(other_rept_positions_spread_all AS int) AS other_reportable_spread,
-- Non-reportable (small speculators, below reporting threshold)
nonrept_positions_long_all::int AS nonreportable_long,
nonrept_positions_short_all::int AS nonreportable_short,
TRY_CAST(nonrept_positions_long_all AS int) AS nonreportable_long,
TRY_CAST(nonrept_positions_short_all AS int) AS nonreportable_short,
-- Net positions (long minus short per category)
prod_merc_positions_long_all::int
- prod_merc_positions_short_all::int AS prod_merc_net,
m_money_positions_long_all::int
- m_money_positions_short_all::int AS managed_money_net,
swap_positions_long_all::int
- swap_positions_short_all::int AS swap_net,
other_rept_positions_long_all::int
- other_rept_positions_short_all::int AS other_reportable_net,
nonrept_positions_long_all::int
- nonrept_positions_short_all::int AS nonreportable_net,
TRY_CAST(prod_merc_positions_long_all AS int)
- TRY_CAST(prod_merc_positions_short_all AS int) AS prod_merc_net,
TRY_CAST(m_money_positions_long_all AS int)
- TRY_CAST(m_money_positions_short_all AS int) AS managed_money_net,
TRY_CAST(swap_positions_long_all AS int)
- TRY_CAST(swap_positions_short_all AS int) AS swap_net,
TRY_CAST(other_rept_positions_long_all AS int)
- TRY_CAST(other_rept_positions_short_all AS int) AS other_reportable_net,
TRY_CAST(nonrept_positions_long_all AS int)
- TRY_CAST(nonrept_positions_short_all AS int) AS nonreportable_net,
-- Week-over-week changes
change_in_open_interest_all::int AS change_open_interest,
change_in_m_money_long_all::int AS change_managed_money_long,
change_in_m_money_short_all::int AS change_managed_money_short,
change_in_m_money_long_all::int
- change_in_m_money_short_all::int AS change_managed_money_net,
change_in_prod_merc_long_all::int AS change_prod_merc_long,
change_in_prod_merc_short_all::int AS change_prod_merc_short,
TRY_CAST(change_in_open_interest_all AS int) AS change_open_interest,
TRY_CAST(change_in_m_money_long_all AS int) AS change_managed_money_long,
TRY_CAST(change_in_m_money_short_all AS int) AS change_managed_money_short,
TRY_CAST(change_in_m_money_long_all AS int)
- TRY_CAST(change_in_m_money_short_all AS int) AS change_managed_money_net,
TRY_CAST(change_in_prod_merc_long_all AS int) AS change_prod_merc_long,
TRY_CAST(change_in_prod_merc_short_all AS int) AS change_prod_merc_short,
-- Concentration ratios (% of OI held by top 4 / top 8 traders)
conc_gross_le_4_tdr_long_all::float AS concentration_top4_long_pct,
conc_gross_le_4_tdr_short_all::float AS concentration_top4_short_pct,
conc_gross_le_8_tdr_long_all::float AS concentration_top8_long_pct,
conc_gross_le_8_tdr_short_all::float AS concentration_top8_short_pct,
TRY_CAST(conc_gross_le_4_tdr_long_all AS float) AS concentration_top4_long_pct,
TRY_CAST(conc_gross_le_4_tdr_short_all AS float) AS concentration_top4_short_pct,
TRY_CAST(conc_gross_le_8_tdr_long_all AS float) AS concentration_top8_long_pct,
TRY_CAST(conc_gross_le_8_tdr_short_all AS float) AS concentration_top8_short_pct,
-- Trader counts
traders_tot_all::int AS traders_total,
traders_m_money_long_all::int AS traders_managed_money_long,
traders_m_money_short_all::int AS traders_managed_money_short,
traders_m_money_spread_all::int AS traders_managed_money_spread,
TRY_CAST(traders_tot_all AS int) AS traders_total,
TRY_CAST(traders_m_money_long_all AS int) AS traders_managed_money_long,
TRY_CAST(traders_m_money_short_all AS int) AS traders_managed_money_short,
TRY_CAST(traders_m_money_spread_all AS int) AS traders_managed_money_spread,
-- Ingest date: derived from landing path year directory
-- Path: .../cot/{year}/{etag}.csv.gzip → extract year from [-2]

37
transform/sqlmesh_materia/models/raw/cot_disaggregated.sql
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@@ -13,7 +13,42 @@ MODEL (
kind FULL,
grain (cftc_commodity_code, report_date_as_yyyy_mm_dd, cftc_contract_market_code),
start '2006-06-13',
cron '@daily'
cron '@daily',
columns (
market_and_exchange_names varchar,
report_date_as_yyyy_mm_dd varchar,
cftc_commodity_code varchar,
cftc_contract_market_code varchar,
contract_units varchar,
open_interest_all varchar,
prod_merc_positions_long_all varchar,
prod_merc_positions_short_all varchar,
swap_positions_long_all varchar,
swap_positions_short_all varchar,
swap_positions_spread_all varchar,
m_money_positions_long_all varchar,
m_money_positions_short_all varchar,
m_money_positions_spread_all varchar,
other_rept_positions_long_all varchar,
other_rept_positions_short_all varchar,
other_rept_positions_spread_all varchar,
nonrept_positions_long_all varchar,
nonrept_positions_short_all varchar,
change_in_open_interest_all varchar,
change_in_m_money_long_all varchar,
change_in_m_money_short_all varchar,
change_in_prod_merc_long_all varchar,
change_in_prod_merc_short_all varchar,
conc_gross_le_4_tdr_long_all varchar,
conc_gross_le_4_tdr_short_all varchar,
conc_gross_le_8_tdr_long_all varchar,
conc_gross_le_8_tdr_short_all varchar,
traders_tot_all varchar,
traders_m_money_long_all varchar,
traders_m_money_short_all varchar,
traders_m_money_spread_all varchar,
filename varchar
)
);
SELECT

2
transform/sqlmesh_materia/seeds/dim_commodity.csv
View File

@@ -1,2 +1,2 @@
usda_commodity_code;cftc_commodity_code;commodity_name;commodity_group
0711100;083731;Coffee, Green;Softs
"0711100";"083";"Coffee, Green";"Softs"
1 usda_commodity_code cftc_commodity_code commodity_name commodity_group
2 0711100 083731 083 Coffee, Green Softs

17
transform/sqlmesh_materia/tests/test_cot_foundation.yaml
View File

@@ -1,11 +1,14 @@
test_fct_cot_positioning_types_and_net_positions:
model: foundation.fct_cot_positioning
vars:
start: "2024-01-01"
end: "2024-01-31"
inputs:
raw.cot_disaggregated:
rows:
- market_and_exchange_names: "COFFEE C - ICE FUTURES U.S."
report_date_as_yyyy_mm_dd: "2024-01-02"
cftc_commodity_code: "083731"
cftc_commodity_code: "083"
cftc_contract_market_code: "083731"
contract_units: "37,500 POUNDS"
open_interest_all: "250000"
@@ -36,10 +39,12 @@ test_fct_cot_positioning_types_and_net_positions:
traders_m_money_short_all: "62"
traders_m_money_spread_all: "20"
filename: "data/landing/cot/2024/abc123.csv.gzip"
expected:
outputs:
partial: true
query:
rows:
- report_date: "2024-01-02"
cftc_commodity_code: "083731"
cftc_commodity_code: "083"
open_interest: 250000
managed_money_long: 60000
managed_money_short: 40000
@@ -59,6 +64,9 @@ test_fct_cot_positioning_types_and_net_positions:
test_fct_cot_positioning_rejects_null_commodity:
model: foundation.fct_cot_positioning
vars:
start: "2024-01-01"
end: "2024-01-31"
inputs:
raw.cot_disaggregated:
rows:
@@ -95,5 +103,6 @@ test_fct_cot_positioning_rejects_null_commodity:
traders_m_money_short_all: "0"
traders_m_money_spread_all: "0"
filename: "data/landing/cot/2024/abc123.csv.gzip"
expected:
outputs:
query:
rows: []

4
web/src/beanflows/analytics.py
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@@ -12,8 +12,8 @@ import duckdb
# Coffee (Green) commodity code in USDA PSD
COFFEE_COMMODITY_CODE = 711100
# Coffee C futures commodity code in CFTC COT reports
COFFEE_CFTC_CODE = "083731"
# Coffee C futures commodity code in CFTC COT reports (3-digit CFTC commodity code)
COFFEE_CFTC_CODE = "083"
# Metrics safe for user-facing queries (prevents SQL injection in dynamic column refs)
ALLOWED_METRICS = frozenset({