Datastream

NOTE: The continuous series are Refinitiv'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 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.

   

  Things to Remember:

• Searching for Futures will tell 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.