feat(cot): add combined (futures+options) COT extractor and transform models

- extract/cftc_cot: refactor extract_cot_year() to accept url_template and
  landing_subdir params; add _extract_cot() shared loop; add extract_cot_combined()
  entry point using com_disagg_txt_{year}.zip → landing/cot_combined/
- pyproject.toml: add extract_cot_combined script entry point
- macros/__init__.py: add @cot_combined_glob() for cot_combined/**/*.csv.gzip
- fct_cot_positioning.sql: union cot_glob and cot_combined_glob in src CTE;
  add report_type column (FutOnly_or_Combined) to cast_and_clean + deduplicated;
  include FutOnly_or_Combined in hkey to avoid key collisions; add report_type to grain
- obt_cot_positioning.sql: add report_type = 'FutOnly' filter to preserve
  existing serving behavior
- obt_cot_positioning_combined.sql: new serving model filtered to report_type =
  'Combined'; identical analytics (COT index, net %, windows) on combined data
- pipelines.py: register extract_cot_combined; add to extract_all meta-pipeline

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

transform/sqlmesh_materia/models/serving/obt_cot_positioning.sql

@@ -20,6 +20,7 @@ WITH latest_revision AS (
     ON f.cftc_commodity_code = d.cftc_commodity_code
   WHERE
     d.commodity_name = 'Coffee, Green'
+    AND f.report_type = 'FutOnly'
     AND f.report_date BETWEEN @start_ds AND @end_ds
   QUALIFY
     ROW_NUMBER() OVER (

transform/sqlmesh_materia/models/serving/obt_cot_positioning_combined.sql

@@ -0,0 +1,148 @@
+/* Serving mart: COT positioning (combined futures+options) for Coffee C futures. */ /* Same analytics as serving.cot_positioning, but filtered to the combined */ /* report variant (FutOnly_or_Combined = 'Combined'). Positions include */ /* options delta-equivalent exposure, showing total directional market bet. */ /* Grain: one row per report_date for Coffee C futures. */ /* Latest revision per date: MAX(ingest_date) used to deduplicate CFTC corrections. */
+MODEL (
+  name serving.cot_positioning_combined,
+  kind INCREMENTAL_BY_TIME_RANGE (
+    time_column report_date
+  ),
+  grain (
+    report_date
+  ),
+  start '2006-06-13',
+  cron '@daily'
+);
+
+WITH latest_revision AS (
+  /* Pick the most recently ingested row when CFTC issues corrections */
+  SELECT
+    f.*
+  FROM foundation.fct_cot_positioning AS f
+  INNER JOIN foundation.dim_commodity AS d
+    ON f.cftc_commodity_code = d.cftc_commodity_code
+  WHERE
+    d.commodity_name = 'Coffee, Green'
+    AND f.report_type = 'Combined'
+    AND f.report_date BETWEEN @start_ds AND @end_ds
+  QUALIFY
+    ROW_NUMBER() OVER (
+      PARTITION BY f.report_date, f.cftc_contract_market_code
+      ORDER BY f.ingest_date DESC
+    ) = 1
+), with_derived AS (
+  SELECT
+    report_date,
+    market_and_exchange_name,
+    cftc_commodity_code,
+    cftc_contract_market_code,
+    contract_units,
+    ingest_date,
+    open_interest, /* Absolute positions (contracts, delta-equivalent for options) */
+    managed_money_long,
+    managed_money_short,
+    managed_money_spread,
+    managed_money_net,
+    prod_merc_long,
+    prod_merc_short,
+    prod_merc_net,
+    swap_long,
+    swap_short,
+    swap_spread,
+    swap_net,
+    other_reportable_long,
+    other_reportable_short,
+    other_reportable_spread,
+    other_reportable_net,
+    nonreportable_long,
+    nonreportable_short,
+    nonreportable_net,
+    ROUND(managed_money_net::REAL / NULLIF(open_interest, 0) * 100, 2) AS managed_money_net_pct_of_oi, /* Normalized: managed money net as % of open interest */ /* Removes size effects and makes cross-period comparison meaningful */
+    ROUND(managed_money_long::REAL / NULLIF(managed_money_short, 0), 3) AS managed_money_long_short_ratio, /* Long/short ratio: >1 = more bulls than bears in managed money */
+    change_open_interest, /* Weekly changes */
+    change_managed_money_long,
+    change_managed_money_short,
+    change_managed_money_net,
+    change_prod_merc_long,
+    change_prod_merc_short,
+    managed_money_net /* Week-over-week momentum in managed money net (via LAG) */ - LAG(managed_money_net, 1) OVER (ORDER BY report_date) AS managed_money_net_wow,
+    concentration_top4_long_pct, /* Concentration */
+    concentration_top4_short_pct,
+    concentration_top8_long_pct,
+    concentration_top8_short_pct,
+    traders_total, /* Trader counts */
+    traders_managed_money_long,
+    traders_managed_money_short,
+    traders_managed_money_spread,
+    CASE
+      WHEN MAX(managed_money_net) OVER w26 = MIN(managed_money_net) OVER w26
+      THEN 50.0
+      ELSE ROUND(
+        (
+          managed_money_net - MIN(managed_money_net) OVER w26
+        )::REAL / (
+          MAX(managed_money_net) OVER w26 - MIN(managed_money_net) OVER w26
+        ) * 100,
+        1
+      )
+    END AS cot_index_26w, /* COT Index (26-week): where is current net vs. trailing 26 weeks? */ /* 0 = most bearish extreme, 100 = most bullish extreme */ /* Includes options delta-equivalent exposure */
+    CASE
+      WHEN MAX(managed_money_net) OVER w52 = MIN(managed_money_net) OVER w52
+      THEN 50.0
+      ELSE ROUND(
+        (
+          managed_money_net - MIN(managed_money_net) OVER w52
+        )::REAL / (
+          MAX(managed_money_net) OVER w52 - MIN(managed_money_net) OVER w52
+        ) * 100,
+        1
+      )
+    END AS cot_index_52w /* COT Index (52-week): longer-term positioning context */
+  FROM latest_revision
+  WINDOW w26 AS (ORDER BY report_date ROWS BETWEEN 25 PRECEDING AND CURRENT ROW), w52 AS (ORDER BY report_date ROWS BETWEEN 51 PRECEDING AND CURRENT ROW)
+)
+SELECT
+  report_date,
+  market_and_exchange_name,
+  cftc_commodity_code,
+  cftc_contract_market_code,
+  contract_units,
+  ingest_date,
+  open_interest,
+  managed_money_long,
+  managed_money_short,
+  managed_money_spread,
+  managed_money_net,
+  prod_merc_long,
+  prod_merc_short,
+  prod_merc_net,
+  swap_long,
+  swap_short,
+  swap_spread,
+  swap_net,
+  other_reportable_long,
+  other_reportable_short,
+  other_reportable_spread,
+  other_reportable_net,
+  nonreportable_long,
+  nonreportable_short,
+  nonreportable_net,
+  managed_money_net_pct_of_oi,
+  managed_money_long_short_ratio,
+  change_open_interest,
+  change_managed_money_long,
+  change_managed_money_short,
+  change_managed_money_net,
+  change_prod_merc_long,
+  change_prod_merc_short,
+  managed_money_net_wow,
+  concentration_top4_long_pct,
+  concentration_top4_short_pct,
+  concentration_top8_long_pct,
+  concentration_top8_short_pct,
+  traders_total,
+  traders_managed_money_long,
+  traders_managed_money_short,
+  traders_managed_money_spread,
+  cot_index_26w,
+  cot_index_52w
+FROM with_derived
+ORDER BY
+  report_date