/* Foundation fact: CFTC COT positioning, weekly grain, all commodities. */ /* Reads directly from the landing zone, casts varchar columns to proper types, */ /* cleans column names, computes net positions (long - short) per trader category, */ /* and deduplicates via hash key. Covers all commodities — filtering to */ /* a specific commodity happens in the serving layer. */ /* Grain: one row per (cftc_commodity_code, report_date, cftc_contract_market_code) */ /* History: revisions appear as new rows with a later ingest_date. */ /* Serving layer picks max(ingest_date) per grain for latest view. */ MODEL ( name foundation.fct_cot_positioning, kind INCREMENTAL_BY_TIME_RANGE ( time_column report_date ), grain (cftc_commodity_code, report_date, cftc_contract_market_code, ingest_date, report_type), start '2006-06-13', cron '@daily' ); WITH src AS ( SELECT * FROM READ_CSV( @cot_glob(), compression = 'gzip', header = TRUE, union_by_name = TRUE, filename = TRUE, all_varchar = TRUE, max_line_size = 10000000 ) UNION ALL BY NAME SELECT * FROM READ_CSV( @cot_combined_glob(), compression = 'gzip', header = TRUE, union_by_name = TRUE, filename = TRUE, all_varchar = TRUE, max_line_size = 10000000 ) ), cast_and_clean AS ( SELECT TRIM(market_and_exchange_names) AS market_and_exchange_name, /* Identifiers */ "Report_Date_as_YYYY-MM-DD"::DATE AS report_date, TRIM(cftc_commodity_code) AS cftc_commodity_code, TRIM(cftc_contract_market_code) AS cftc_contract_market_code, TRIM(contract_units) AS contract_units, TRIM("FutOnly_or_Combined") AS report_type, /* 'FutOnly' or 'Combined' — discriminates the two CFTC report variants */ TRY_CAST(open_interest_all AS INT) AS open_interest, /* Open interest */ /* CFTC uses '.' as null for any field — use TRY_CAST throughout */ TRY_CAST(prod_merc_positions_long_all AS INT) AS prod_merc_long, /* Producer / Merchant (commercial hedgers: exporters, processors) */ TRY_CAST(prod_merc_positions_short_all AS INT) AS prod_merc_short, TRY_CAST(swap_positions_long_all AS INT) AS swap_long, /* Swap dealers */ TRY_CAST("Swap__Positions_Short_All" AS INT) AS swap_short, TRY_CAST("Swap__Positions_Spread_All" AS INT) AS swap_spread, TRY_CAST(m_money_positions_long_all AS INT) AS managed_money_long, /* Managed money (hedge funds, CTAs — the primary speculative signal) */ 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, TRY_CAST(other_rept_positions_long_all AS INT) AS other_reportable_long, /* Other reportables */ 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, TRY_CAST(nonrept_positions_long_all AS INT) AS nonreportable_long, /* Non-reportable (small speculators, below reporting threshold) */ TRY_CAST(nonrept_positions_short_all AS INT) AS nonreportable_short, TRY_CAST(prod_merc_positions_long_all AS INT) /* Net positions (long minus short per category) */ - 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, TRY_CAST(change_in_open_interest_all AS INT) AS change_open_interest, /* Week-over-week changes */ 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, TRY_CAST(conc_gross_le_4_tdr_long_all AS REAL) AS concentration_top4_long_pct, /* Concentration ratios (% of OI held by top 4 / top 8 traders) */ TRY_CAST(conc_gross_le_4_tdr_short_all AS REAL) AS concentration_top4_short_pct, TRY_CAST(conc_gross_le_8_tdr_long_all AS REAL) AS concentration_top8_long_pct, TRY_CAST(conc_gross_le_8_tdr_short_all AS REAL) AS concentration_top8_short_pct, TRY_CAST(traders_tot_all AS INT) AS traders_total, /* Trader counts */ 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, MAKE_DATE(STR_SPLIT(filename, '/')[-2]::INT, 1, 1) AS ingest_date, /* Ingest date: derived from landing path year directory */ /* Path: .../cot/{year}/{etag}.csv.gzip → extract year from [-2] */ HASH( cftc_commodity_code, "Report_Date_as_YYYY-MM-DD", cftc_contract_market_code, "FutOnly_or_Combined", open_interest_all, m_money_positions_long_all, m_money_positions_short_all, prod_merc_positions_long_all, prod_merc_positions_short_all ) AS hkey /* Dedup key: hash of business grain + key metrics; includes report variant so fut-only and combined rows get distinct keys */ FROM src /* Reject rows with null commodity code or malformed date */ WHERE NOT TRIM(cftc_commodity_code) IS NULL AND LENGTH(TRIM(cftc_commodity_code)) > 0 AND NOT "Report_Date_as_YYYY-MM-DD"::DATE IS NULL ), deduplicated AS ( SELECT ANY_VALUE(market_and_exchange_name) AS market_and_exchange_name, ANY_VALUE(report_date) AS report_date, ANY_VALUE(cftc_commodity_code) AS cftc_commodity_code, ANY_VALUE(cftc_contract_market_code) AS cftc_contract_market_code, ANY_VALUE(contract_units) AS contract_units, ANY_VALUE(open_interest) AS open_interest, ANY_VALUE(prod_merc_long) AS prod_merc_long, ANY_VALUE(prod_merc_short) AS prod_merc_short, ANY_VALUE(prod_merc_net) AS prod_merc_net, ANY_VALUE(swap_long) AS swap_long, ANY_VALUE(swap_short) AS swap_short, ANY_VALUE(swap_spread) AS swap_spread, ANY_VALUE(swap_net) AS swap_net, ANY_VALUE(managed_money_long) AS managed_money_long, ANY_VALUE(managed_money_short) AS managed_money_short, ANY_VALUE(managed_money_spread) AS managed_money_spread, ANY_VALUE(managed_money_net) AS managed_money_net, ANY_VALUE(other_reportable_long) AS other_reportable_long, ANY_VALUE(other_reportable_short) AS other_reportable_short, ANY_VALUE(other_reportable_spread) AS other_reportable_spread, ANY_VALUE(other_reportable_net) AS other_reportable_net, ANY_VALUE(nonreportable_long) AS nonreportable_long, ANY_VALUE(nonreportable_short) AS nonreportable_short, ANY_VALUE(nonreportable_net) AS nonreportable_net, ANY_VALUE(change_open_interest) AS change_open_interest, ANY_VALUE(change_managed_money_long) AS change_managed_money_long, ANY_VALUE(change_managed_money_short) AS change_managed_money_short, ANY_VALUE(change_managed_money_net) AS change_managed_money_net, ANY_VALUE(change_prod_merc_long) AS change_prod_merc_long, ANY_VALUE(change_prod_merc_short) AS change_prod_merc_short, ANY_VALUE(concentration_top4_long_pct) AS concentration_top4_long_pct, ANY_VALUE(concentration_top4_short_pct) AS concentration_top4_short_pct, ANY_VALUE(concentration_top8_long_pct) AS concentration_top8_long_pct, ANY_VALUE(concentration_top8_short_pct) AS concentration_top8_short_pct, ANY_VALUE(traders_total) AS traders_total, ANY_VALUE(traders_managed_money_long) AS traders_managed_money_long, ANY_VALUE(traders_managed_money_short) AS traders_managed_money_short, ANY_VALUE(traders_managed_money_spread) AS traders_managed_money_spread, ANY_VALUE(ingest_date) AS ingest_date, ANY_VALUE(report_type) AS report_type, hkey FROM cast_and_clean GROUP BY hkey ) SELECT * FROM deduplicated WHERE report_date BETWEEN @start_ds AND @end_ds