Hi Makio! All our indicators are listed here: https://www.quantconnect.com/docs#Indicators along with examples of how to use them.

It seems that we don't have the COT indicator. If you'd like it added, please register a github issue here: https://github.com/QuantConnect/Lean/issues

@Makio  I do not understand what you mean by a COT indicator.  I believe by COT you mean Commitment of Traders.  Jake Berstein and Chris Moody wrote a COT indicator on TradingView that tracks the Commercials for currencies.  I think it is based on the Legacy report.  The short form CFTC reports are available as free data sets on Quandl.  Looking at his code, it looks like that is where he is getting his data. 

You do not need Quandl, you can download the history of the commodities both combined and futures only directly from the CFTC web site on both short and long form.

Of course you could relate the reports to specific symbols.  For example you could relate CFTC Contract Market Code 88691 for Gold to GLD (which is tradable) or the XAUUSD (which is an index and not tradable) or the GC which is the futures for the index (which is tradable).

Then you need to decide which column to use as your indicator.  You could use Open Interest or one of the long or short columns for one of the groups that the CFTC reports such as: Producers, Money Managers, Swaps or Other. 

Then there is the matter of getting the data into QC.  You could use a custom data source or download it into a List<COT> when you initialize your algorithm.

I decided to download the data from the CFTC and process it in Excel to create graphs relating the daily closing price for an instrument to the weekly COT report.  I am charting Open Interest, Long and Short positions for each of the groups, and next change for each of the groups.  I plot those value along with the Bollinger Bands and the price of the underlying and look for a signal.  Then I can use that intelligence to select an underlying symbol and trade it using RSI.  In other words the signal is generated offline and I use other indicators to make the trades.

Nick