DATASTREAM
FUTURES USER GUIDE
JANUARY 2008
Introduction
This manual is intended for all users of the Datastream product.
It focuses on the Commodity and Financial Futures content within the product, conventions, data attributes available and any related documentation.
In this guide we assume that the user is familiar with using the Datastream service and that you know how to log on to the system, use Navigator and Help screens and use the various applications available in the product. In addition we assume that the user understands the fundamental difference between futures and other asset classes.
If you are completely new to Datastream, please ask your Customer Services Executive for help with training and appropriate documentation. For general enquiries or problems concerning the Datastream service, please contact your Customer Services Executive or call
the Helpline.
Finding Futures on the Datastream Product
Futures codes can be found through Datastream Advance - Data Category.
Under the Futures the User is presented with two options:
§ Criteria Search
§ Help Browse
The Criteria Search Options takes the user directly to the Datastream Navigator.
From this screen a user may search for the required future by inserting the information through one or more inputs.
Inputs can consist from:
Name: The name of the futures contract, for example, DAX.
Market: The country where the exchange trades for the specified future contract, for example, the Euro$ contract from Chicago Mercantile Exchange will have its market in the United States.
Type: Click the type of future contract from the selection available – All (default)
Exchange: The name of the exchange where the future trades.
Class: The futures class if known to the user.
Status: Select from All (default), Active, Dead or Suspended futures contracts.
In the example below the word DAX has been inserted under the NAME field only.
In our above example, Navigator has returned the following futures classes with the name DAX.
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The other way to find the futures contract mnemonic is through the Help Browse option to the help page HELP FUT? that contains all the information relating to futures.
The screen below appears with the following user selection.
By double clicking on Russia, the Product will take the user to the next drill down selection, either by exchange or by type of contract.
The information on the HELP FUT? pages contains:
§ The three letter futures contract code, for example, RTS is futures class code for the RTS index
§ The description name of the futures contract.
§ Start Date of the first available value on the Datastream product. This is will be the start date of the continuous series ending in CS00.
§ Expiry month relates to the expiry cycle of the futures contract, for example, RTS trades on a cycle of March, June, September and December, hence there will be information with a contract mnemonic of RTS0907 but the contract mnemonic with RTS1007 will not exist because this would pertain to an October traded contract.
Futures Mnemonic Conventions on the Datastream Product
Futures mnemonics for use with Datastream programs have the format XXXYYYY.
Where XXX is the futures contract code – or sometimes referred to as futures class.
§ YYYY is either the delivery date code in the format MMYY, for example, 0908 is the code for September 2008 contract.
Or
§ The code for a continuous series, for example, CS01 is the code for the continuous series switch over following the last trade date of the future.
For example, to display US Treasury Bond contracts (floor) traded on the Chicago Board of Trade, for which the three letter code is CUS:
CUS0908 represents the future with contract date of September 2008.
CUS0399 represents the future with contract date of March 1999.
CUSCS00 represents the US Treasury Bond Continuous series where switch over is at 1st trading day of the contract month.
CUSCS01 represents the US Treasury Bond Continuous series where switch over is on the day following the last trade date on the contract month.
Please note that whilst the product only automatically displays the continuous series ending with CS00, there are in fact up to six continuous series methodologies available, see Continuous Series section.
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Continuous series data sources
The continuous series are Thomson Financial's futures calculated series available on the Datastream product.
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.
There are currently six different types of continuous series available:
§ Switch over on 1st day of new month trading
§ Nearest future with switch over following last trading day
§ Switch over based on weighted volume 1st future month vs 2nd future month
§ Switch over when 2nd month future volume exceeds 1st future month volume
§ As a price index
§ Average of all futures
In addition the continuous series may be formed from:
a) The nearest future from among all candidate contracts.
All months can be used in the calculation of the continuous series.
b) The nearest future from all traditionally active contracts.
Only those contracts traditionally traded (usually high volume) are used
in the calculation, for example, the Euro$ traded from CME would exclude
serial months and the traditional cycle would consist of Mar, Jun, Sep and
Dec months.
For further information please refer to the document :
Datastream Product Continuous Series which is available on the
http://extranet.datastream.com/data/Futures/Index.htm
Futures Attributes
Clients can access a range of data attributes relating to futures by inserting the relevant datatype in brackets, for example, CUS0908(PH) will provide users the highest traded price and CUS0908(LTDT) will provide clients with the last trading date for the US Treasury Bond September 2008 contract.
Futures Lists
Users can construct futures lists for 'live' and 'dead' futures by class by
inserting the list mnemonic in the form of LFUTXXXL
List Mnemonic - LFUTXXXL
L List
FUT Futures
XXX Futures mnemonic code, e.g. LSX, CUS, GDX
L/D Live or Dead
For a list of all live trading futures for the CME-3 Month Euro$ contract,
the list mnemonic would be : LFUTIEDL
For a list of all dead futures for the Liffe-FTSE100 Index contract, the
list mnemonic would be : LFUTLSXD
In addition clients have access to exchange live lists containing all live futures contracts trading on specific exchange.
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