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Datastream

Futures


See the demos of retrieving continuous series or individual futures contracts.


 

Sample Search: Compare the January 6, 1997 settlement price on a futures contract for 15 to 30 year U.S. Treasury Bonds in December of 1997 to the January 21, 1997 settlement price.

NOTE: The continuous series are Thomson Financial's futures calculated series. They are perpetual series of Futures prices, Price Open, Price High, Price Low and Settlement Price formed from individual futures prices. It starts at the nearest contract month which forms the first values for the continuous series with various switchovers depending on the continuous series requested. Unlike individual futures contracts, continuous series do not expire until the actual future contract ceases to exist.

From 1st February 2002, there will be six different types of continuous series available:

  • 1. Switch over on 1st day of new month trading (current CS00)
  • 2. Nearest future with switch over following last trading day
  • 3. Switch over based on weighted volume 1st future month vs 2nd future month
  • 4. Switch over when 2nd month future volume exceeds 1st future month volume
  • 5. As a price index
  • 6. Average of all futures

    For each type a future continuous series can be calculated from all traded months or traditional months.

    Constructing Futures Continuous Series Mnemonics:

    The codes displayed in HELP FUT? are three letter codes only. In order to use these codes to display data, you need to add:
  • * CSXX for all available traded months
  • * CTXX for all traditional traded months
  • XX is the type calculated as follows:
    00 - Switch over on 1st day of new month trading (current CS00)
    01 - Nearest future with switch over following last trading day
    02 - Switch over based on weighted volume 1st future month vs 2nd future month
    03 - Switch over when 2nd month future volume exceeds 1st future month volume
    04 - As a price index
    05 - Average of all futures

    To display US Treasury Bond from the Chicago Board of Trade, for which the three letter code is CUS based Switch over when 2nd month volume exceeds 1st month using all available months the mnemonic will be : CUSC03.

    To display 3 month Euro$ from Chicago Mercantile Exchange, for which the three letter code is IED based on nearest future with switch over following last trade day using traditional months (Mar,Jun,Sep,Dec) the mnemonic will be : IEDCT01.

    To obtain information on individual futures contracts, you can add the expiration date to the code. See the images below for more information.

     

     

    Finding the Code:

    Futures are financial instruments which represent contracts to buy a certain item or type of item at a specific date in the future. Different types of futures are purchased through different exchanges. Datastream identifies futures by the exchange in which it is traded and by the type of item that is being contracted.

    To find Datastream codes for futures enter HELP FUT? in the "Program Number" area in the main program window. Press Enter.

    The new program window will prompt you to enter the geographic area of the desired Future from a given list. Select 28 for the United States. Press Enter.

    You are then given the option to search Datastream's listings of futures by the type of future or by the exchange through which it is traded. Because you do not yet know where U.S. Treasury Bonds are traded, choose to search by type. Select 2 and then press Enter.

    From the resulting list of commodities and financial instruments, choose

    T-Bonds/Notes/Bills. Select 2 and then press Enter.

    The code for 15-30 Year U.S. Treasury Bonds is CUS. The start date is April 10, 1977.

    Choose Clear to go back to the main Datastream window. Choose Time Series.

    Choose Futures.

    Choose your program, Values at 2 dates. Press enter.

    To specify contracts for December 1997 you must append a date to the 3-letter code, CUS. The date is indicated in the form MMYY. Hence, the code for 15-30 Year U.S. Treasury bond futures for December 1997 will be CUS1297. Enter this in the new program window, and press tab to skip to the next line.

    Enter the two dates of interest in the lines provided, marked 1st and 2nd, in the form DD/MM/YY. Press enter.

    The resulting window will display the desired data in tabular format. If you entered any parameters incorrectly, the program will pause, describe the error, and allow you to enter each parameter again.

    Things to Remember:

  • Check HELP FUT? to find what nations, exchanges, and contracts are covered.

  • To get a list of all futures corresponding to a class use the mnemonic LFUTxxxL or LFUTxxxD. Replace xxx with the class (example CUS for the bond above and then the last letter would be L for live futures contracts and D for dead (i.e. expired) futures contracts.  Example LFUTCUSL or LFUTCUSD.  Use in Program 900A.