THOMSON REUTERS DATASTREAM FUTURES The Thomson Reuters Datastream Futures time-series database comprehensively covers global financial and commodity futures information for 39 countries covering 79 regulated exchanges, with history as far back as 1976. COVERAGE REUTERS FUTURES CONTINUATION SERIES The Thomson Reuters Datastream futures database covers 4,146 futures contracts in 39 countries. Thomson Reuters Datastream also provides access to the Reuters Futures Continuation series. Two different methods of continuation series calculations are available: • 2,137 trading futures contracts • 2,009 delisted futures contracts • Switch-over following the last trade date of the nearest future As of November 2014 futures coverage is as follows: • Switch-over based on volume of first near future versus second future • 31,668 live futures series • 4,972 live Reuters continuation series Continuation series follow the same data policy as specified by the original Reuters products. Reuters continuation series can be added via client requests. • 213,500 expired series Commitment of Traders (COT) • 13,310 live Datastream continuous series DATA ITEMS AVAILABLE • Daily prices are available in the form of time series data covering open, high, low, settlement, volume and open interest. For selected markets closing bid, ask and last traded price is also available • Information relating to the futures contract attributes is available as static data items and includes last trade dates, contract sizes, tick value, tick size and currency. Datastream futures mnemonics can be retrieved using RICs • In total the futures database consists of up to 24 time series attributes and 28 reference facts FUTURES DATASTREAM CONTINUOUS SERIES Thomson Reuters Datastream provides six different methods of continuous series calculations for all financial and commodity future contracts. 1. Switch-over on the first day of new trading month. 2. Switch-over following the last trade date of the nearest future. 3.Switch-over based on weighted volume first near future versus second future. 4.Switch-over when second future month volume exceeds first future month volume. 5. As a price index. 6. As an average of all traded contracts. Continuous series are automatically available for up to three futures positions and clients can choose from all traded months or regular cycle months. For example, the Euro-dollar contract’s regular cycle month consists of March, June, September and December since the majority of liquidity is held on those quarterly months. Additional contract futures months are added on customer requests and back histories calculated. 1008842_V1.indd 1 The weekly US CFTC COT reports as well as ICE LIFFE COT are available. Full coverage of futures positions as reported on the short format can be researched – there are 4,252 active series in total. LME COT is due to be available in Q1 of 2015. BOND FUTURES CHEAPEST TO DELIVER SERIES Thomson Reuters Datastream provides CTD time series giving a daily indication of the underlying bond associated with the bond futures. The CTD for each nearby future maturity is calculated based on the Implied Repo Rate or where market convention prevents this, the Basis Spread. Series for up to four positions forward are available where applicable. • There are 9 daily data items available which are: • CTD Bond Bid/Ask/Mid Price (PB/PA/DSP) • CTD Bond Conversion Factor (CONV) • CTD Bond Coupon Rate (CRATE) • CTD Bond Basis Point Value (BPV) • Implied Repo Rate (IREPO) • Gross Basis Spread (BS) • Future Basis Point Value (RISK) FUTURES LISTS • Total volume and open interest per class is available on the continuous series • Clients may download futures at a contract level (displaying all live futures trading), continuous series lists as well as dead lists for all expired contracts for a specific contract • Cheapest to Deliver and Deliverable Baskets are available for benchmark bond contracts 26/11/2014 14:15 THOMSON REUTERS DATASTREAM FUTURES QUALITY ASSURANCE HISTORY AVAILABLE • Expert analysts in global data centres focus on and handle specific futures markets, with further support from experienced operations, content and technical management teams. • Histories are available as far back as 1976 for U.S. futures. • Significant checks are made to the futures content once data is archived for the day’s close. Each market is closely monitored and checked through an intensive battery of tests. This validation routine consists of content market rules as well validation against exchanges’ own official lists’ prices. • Long uninterrupted histories of futures continuous series from the first day of the contract. EXCELLENT TIMELINESS • Thomson Reuters Datastream Data Feeds • Futures time series data items are updated daily. • Thomson Reuters Eikon & DFO • Thomson Datastream guarantees full histories and keeps all information for dead contracts. PRODUCTS • Thomson Reuters Datastream (Windows, Advance, Research, DDL/Data Channel) • Static information is available when futures contracts series are created. • On average, developed futures markets are available within three hours of market close. ABOUT THOMSON REUTERS Thomson Reuters is the world’s leading source of intelligent information for businesses and professionals. We combine industry expertise with innovative technology to deliver critical information to leading decision makers in the financial, legal, tax and accounting, scientific, healthcare and media markets, powered by the world’s most trusted news organization. With headquarters in New York and major operations in London and Eagan, Minnesota, Thomson Reuters employs 55,000 people and operates in over 100 countries. Thomson Reuters shares are listed on the Toronto and New York Stock Exchanges. EXCHANGE COVERAGE AS OF NOVEMBER 2014 COUNTRY Argentina Argentina Australia Australia Austria Belgium Brazil Canada Canada Canada China China China China Denmark Finland France France France Germany Germany Greece Hong Kong Hong Kong Hungary India India India Ireland Israel Italy Japan Japan Japan Japan Japan Japan Malaysia Mexico EXCHANGE Buenos Aires Rosario Futures Exchange ASX Trade24 Australian Exchange Wiener Boerse AG NYSE Euronext – Euronext Brussels – Derivatives BM&F Bovespa ICE Canada Montreal Exchange Toronto Futures Exchange China Financial Futures Exchange Dalian Commodity Exchange Shanghai Futures Exchange Zhengzhou Commodity Exchange Copenhagen Stock Exchange Finnish Options Market BlueNext Euronext Paris MATIF Powernext EUREX European Energy Exchange Athens Derivatives Exchange Hong Kong Futures Exchange Hong Kong Mercantile Exchange Budapest Stock Exchange Multi Commodity Exchange of India National Commodity and Derivatives Exchange of India National India Dublin Tel Aviv Italian Derivatives Market Central Japan Commodities Exchange Kansai Commodities Exchange Osaka Securities Exchange Tokyo Commodity Exchange Tokyo Financial Exchange Tokyo Grain Exchange Kuala Lumpur Mexican Derivatives Exchange COUNTRY Netherlands New Zealand Norway Norway Norway Norway Poland Portugal Russian Federation Russian Federation Singapore Singapore Singapore South Africa South Korea South Korea Spain Spain Sweden Taiwan Thailand Thailand Turkey United Arab Emirates United Arab Emirates United Kingdom United Kingdom United Kingdom United States United States United States United States United States United States United States United States United States United States EXCHANGE Euronext.liffe Amsterdam New Zealand Futures and Options Exchange Fish Pool ASA Nord Pool Spot AS Norwegian Over the Counter Oslo Stock Exchange Warsaw Stock Exchange New York Stock Exchange (NYSE) Euronext MICEX Russian Trading System Singapore Commodity Exchange Singapore Exchange – Derivatives Trading Division Singapore Mercantile Exchange South African Futures Exchange Korea Futures Exchange (KOFEX) Korea Stock Exchange MEFF Renta Fija MEFF Renta Variable OM Nordic Exchange Taiwan Futures Exchange Agricultural Futures Exchange of Thailand Thailand Futures Exchange Turkish Derivatives Exchange Dubai Gold and Commodities Exchange DMCC Dubai Mercantile Exchange ICE Futures Europe London Metal Exchange NYSE Euronext Liffe Chicago Board Options Exchange Chicago Climate Exchange Chicago Mercantile Exchange eCBOT Euronext.liffe NYSE ICE Futures US Kansas City Board of Trade Minneapolis Grain Exchange New York Mercantile Exchange (COMEX Division) New York Mercantile Exchange (NYMEX) Visit financial.thomsonreuters.com For more information, contact your representative or visit us online. © 2014 Thomson Reuters. 1008842 11/14. Thomson Reuters and the Kinesis logo are trademarks of Thomson Reuters. 1008842_V1.indd 2 26/11/2014 14:15
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