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33 CFTC data missing SOFR 3 Month and SOFR 1 Month Futures Contract Data · Issue #53 · Nasdaq/data-link-python · GitHub
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CFTC data missing SOFR 3 Month and SOFR 1 Month Futures Contract Data #53

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@adriantorrie

Description

@adriantorrie

Confirmed via API the data is not available:

Missing the following contract_market_code (a.k.a contract_code for the API above):

  • 134741 (SOFR 3 Month)
  • 134742 (SOFR 3 Month)

The data from the CFTC can be seen here, and I've posted below, just to confirm for you that it is available from the source:

-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 1, 2025                                                                                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
SOFR-3M - CHICAGO MERCANTILE EXCHANGE   ($2,500 x Contract IMM Index)                                                                                      
CFTC Code #134741                                                    Open Interest is11,131,551
Positions
 2,448,123  1,821,143  1,815,682  1,032,094    480,823  1,078,194  1,191,605  2,181,841  3,269,333     80,777    303,166    137,599     78,144     43,770
 
Changes from:       June 24, 2025                                    Total Change is:   124,846
    47,292     69,682     26,862    -64,215    -10,405    110,106     92,510    101,882    -85,268    -18,535    -54,698     -6,916     23,010    -26,399
 
Percent of Open Interest Represented by Each Category of Trader
      22.0       16.4       16.3        9.3        4.3        9.7       10.7       19.6       29.4        0.7        2.7        1.2        0.7        0.4
 
Number of Traders in Each Category                                    Total Traders:       893 
        90         97        142         64         67         74        150        156        200        118        101         65
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 1, 2025                                                                                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
SOFR-1M - CHICAGO MERCANTILE EXCHANGE   ($4,167 x Contract IMM Index)                                                                                      
CFTC Code #134742                                                    Open Interest is 1,258,036
Positions
   389,121    228,929    194,544      1,334     62,959     12,651    259,817    354,671    384,771      3,596     12,389      5,034      7,168      2,088
 
Changes from:       June 24, 2025                                    Total Change is:  -157,618
    59,783      4,512   -112,674     -5,247     23,189     -3,912    -66,821    -50,027    -19,060     -9,538      1,071     -1,909      1,760      1,192
 
Percent of Open Interest Represented by Each Category of Trader
      30.9       18.2       15.5        0.1        5.0        1.0       20.7       28.2       30.6        0.3        1.0        0.4        0.6        0.2
 
Number of Traders in Each Category                                    Total Traders:       204 
        44         44         54          .         11          4         35         53         54          6          7          .

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