SFE Intra-Day Data

SFE Intra-day Data is available from 1996 to January 2001. It contains the following fields for all quotes and trades:

Notes

1. The contract code has between 4 and 5 alpha and/or numeric digits. The first two digits are the issuer code, the third the expiry month code and the fourth is the last digit of the expiry year. The fifth digit is an optional put or call tag. The issuer code is a unique two letter code which is used by the SFE. Examples of these codes are as follows (please notes, these codes may be subject to change):

   Issuer Code	Issuer Name
   AI	All Industrials Share Index Futures & Options
   AN	ANZ Bank Share Futures
   AO	All Ordinaries Share Price Index Futures & Options
   BC	Westpac Banking Corporation Share Futures
   BP	Broken Hill Proprietary Limited Share Futures
   BW	Broad Wool (cash settled) Futures
   CA/CR	Rio Tinto Limited Share Futures
   CS	Live Cattle (cash settled) Futures
   FL	Fifty Leaders Share Price Index Futures & Options
   FO	Foster's Brewing Group Share Futures
   FW	Fine Wool (cash settled) Futures
   GW	Greasy Wool (deliverable) Futures & Options
   IM	MIM Holdings Share Futures
   IR	90 Day Bank Accepted Bill (deliverable) Futures & Options
   NB	National Australia Bank Share Futures
   NE	NSW Base Load Electricity Futures
   NU	News Corporation Share Futures
   PC	Pacific Dunlop Share Futures
   TE	Telstra Share Futures
   TR	BTR Nylex Share Futures/Telstra Installment Receipt Futures
   VE	VIC Base Load Electricity Futures
   WH	Wheat Futures & Options
   WM	Western Mining Corporation Share Futures
   WS	Wool (cash settled) Futures
   XB	10 Year Commonwealth Treasury Bond Futures & Futures
   YB	3 Year Commonwealth Treasury Bond Futures & Options

   
   The month code is a single unique letter which identifies the month in which the contract expires. Details of these codes are as follows:

   Expiry month code	Expiry month
   F	January
   G	February
   H	March
   J	April
   K	May
   M	June
   N	July
   Q	August
   U	September
   V	October
   X	November
   Z	December

   
   The fifth optional digit only applies to options on futures and is a “C” or a “P” depending on whether the contract is a call or a put respectively.
   For example:
   AOH9P is a put option on the Share Price Index March 1999 Futures contract
2. This field is used to identify which period the contract is currently in. If a contract is the most current and it will be the next of that commodity to expire, then it is the called the nearest contract. If a contract is the next closest contract to expire then it is called the next nearest to expire (or Nearest – 1). This field may take a value of 1 if it the nearest contract and 0 if it is not.
3. Volumes are only available on trades and not on quotes.