Tick History / Foreign Exchange / Instrument Codes

Foreign Exchange rates are amongst the most requested high frequency datasets by academic users of Thomson Reuters Tick History. An obvious reason is their relative simplicity, and guaranteed “volume”, compared to other asset classes, making FX an obvious asset class for academics to cut their teeth with.

Deriving the intrument code for FX is also relatively easy compared to some of the asset classes we have focussed on in earlier posts. The Reuters Instrument Code (RIC) structure in FX leans heavily on the accepted ISO standard 4217 which defines the names of currencies under the International Organisation for Standardisation. FX RICs are made up of three letters and an equals sign, eg. JPY= for Japanese Yen.

ISO 4217, in turn relies on ISO 3166 which allocated two letters pertaining to a country, ie. AU for Australia; the third letter of the RIC is usually the first letter of the noun which describes the currency, ie. D for Dollar; then just add an equals sign…..giving AUD= for the Australian Dollar spot rate.

Entering codes such as JPY=, AUD=, EUR=, GBP=, CHF= etc will give you the spot rate of this currency versus the US Dollar. Other spot rates versus the US Dollar can be easily retrieved by entering the term MONEY into the Tick History Speedguide (see the post below for more details about the Speedguide).

Thomson Reuters spot FX rates such as JPY= are rates which have been contributed to the Thomson Reuters network, as indicative dealable rates, by Thomson Reuters FX customers, these being customers who are usually active in the interbank, or wholesale/institutional FX markets. This is the reason why Tick History will identify the individual FX rate updates with the identifier type “OTC Quote”.

It is obviously also possible to retrieve cross rates between two specific currencies, these tend to be calulated by referencing each individual currency’s spot rate versus the US Dollar and converting against each other accordingly, as a result they tend to be derived rates rather than actual indicative dealable rates available in the market. Again, use the three letter code for each currency, but make them adjacent and add an “=R” to indicate that these are calculated rates rather than rates contributed to the database by a Thomson Reuters customer. An example is AUDGBP=R, giving the number of GBP pence to buy one Australian Dollar, or GBPAUD=R, which would give the number of Australian Dollar and Cents it would take to buy one GB Pound. Again, using MONEY in the Speedguide will help you with this.

Tick History / Options on Futures / Instrument Codes

A couple of weeks ago we posted a beginners guide to building a Reuters Instrument Code pertaining to Futures contracts. We were prompted to do this due to the sheer number of requests for help which we get from academic members seeking a specific futures contract on the Thomson Reuters Tick History database. As confessed earlier there are some well known shortcomings in the way the database labels individual futures contracts, meaning that novice users often struggle with a string of shortened Futures contract names and acronyms. Well imagine how confused the novice user would get looking for Options on these Futures contracts. Here goes with another basic guide to building a Reuters Instrument Code this time for Options on Futures contracts.

The easiest way to assemble the set of options pertaining to a specific Futures contract is to use the Reuters “chain” command which assembles all subsets of a specific instrument (see the post below), along with a “+”. Here is an example for the Long Gilt Futures contracts listed on LIFFE.

This contract has the stem “FLG”, placing a “0#” before the stem indicates that you wish to “chain” this contract, and then adding a “+” after the stem indicates that you wish to retrieve all options pertaining to this contract. In otherwords enter “0#FLG+” into your Tick History request box.

Remember also that the timeframe you select is important here. Tick History will retrieve any valid option which exists over the time period which you specify, extreme caution therefore if you are searching over multiple months, you will be retrieving a heap of expired options over multiple strike prices, both puts and calls!

Coming back to our example for FLG, if you enter 0#FLG+, the system will helpfully list the relevent underlying Futures contract, and then all live Options on this specific contract for the period which you have specified. For a search covering the period 3Nov2010 to 10Nov2010, the first Futures contract is “FLGH1”, the March 2011 contract (see post below for details). There then follows several dozen individual option contracts representing all the available Option strike prices and expiries (both puts and calls) on this Futures contract. An example is “FLG12300A1”.

Each individual Option has a specific taxonomy, in this case “FLG” represents the stem of the underlying Futures contract, “12300” is the strike price, “A” is the expiry month and put/call identifier for the Option (ie. January Call), and “1” represents the year (ie. 2011). FLG12300A1 is therefore a Call Option on the Long Gilt March 2011 Futures contract, with a strike price of 123.00 and an expiry in January 2011.

The expiry month identifiers differ from the futures expiry month identifiers which you may have read about in the post below. Here is the list for Options contracts:

CALL Options:
January A
February B
March C
April D
May E
June F
July G
August H
September I
October J
November K
December L

PUT Options:
January M
February N
March O
April P
May Q
June R
July S
August T
September U
October V
November W
December X

Thomson Reuters Tick History data fields will help you with the long had of the expiry months and strike prices, along with an explicit put/call identifier, and a link to the underlying contract.

Again, caution about data overload with Options, it will may pay to narrow your search down to options on a specific Futures contract, eg. the March 2011 Long Gilt, rather than asking for options on all current Long Gilt Futures. In this case you would use 0#FLGH1+, instead of 0#FLG+.

Speedguide Explained

The Speedguide is an archive of quick reference information as it was available to customers of Thomson Reuters real-time trading network. As such it is an invaluable guide for navigating through the complexity of the world’s financial markets. You just need to recognise a few qualities to make the most of Speedguide.

Firstly, the Speedguide is an archive of a real-time service catering to the needs of evolving markets. This means the Speedguide also evolves and changes from day to day. The date of the Speedguide is therefore an important input to consider before submitting a Speedguide request because the answers you receive will be specific to the date setting and can change from one date to another. By default the date is set to the latest available. But this may not be appropriate if you are interested in RIC codes from ten years ago. In that case, you will need to use the Speedguide from ten years ago.

The following picture displays the Speedguide tab (marked in red on the Tick History screen), the Speedguide pop-up that results from left-clicking on the Speedguide tab (also circled in red) and Speedguide input fields (all shown in green boxes).

The third green box shows the Speedguide date field. In this example it is set to “Mon-01-11-2010”. That field can be changed to anything back to “Mon-08-Jan-1996”, when the Speedguide begins.

The fourth green box lets you define time during any of these dates for a required Speedguide.

The second green box contains “THOMSONREUTERS” in the accompanying sample. This is the Speedguide’s home page. Any item marked in blue on a Speedguide page is hypertext to another Speedguide page of that name. For instance, left-clicking on “” will take you to the “EQUITY” page. Notice after clicking EQUITY the name in the green box changes to EQUITY. Notice too that entries at the bottom of each Speedguide page show the previous and next Speedguide page names in any sequence, or useful next locations.

You can type other entries into the page name box and be taken directly to the Speedguide page with that name. For example, you could type “REUTERS” in that box and be taken to the REUTERS Speedguide page. REUTERS is the Speedguide home page before 15-Apr-2008, so it is useful to know for older searches. Another example is the Speedguide page “0#.INDEX” (that’s a zero hash dot upper case i-n-d-e-x). Typing that and left clicking on the Go button takes you to a page displaying RICs for the world’s major indices on the selected Speedguide date. After you begin using the Speedguide you will notice that many pages keep their names across different days. That consistency is useful because you go navigate straight to those pages by entering their name on the chosen date. Of course, when you are unsure of a page name you can always navigate down from the home page (REUTERS or THOMSONREUTERS). Other useful page names are: “G20/EQUITY” for a more direct entry into G20 equity markets where you will quickly see more Speedguide structure; “RULES1” which commences the definition of RIC structures; “EXCHANGES” which presents information about different exchanges; and “EXCHID01” which is a mapping between RIC exchange suffixes and exchange names.

The final Speedguide input cell was the first enclosed by a green box above. In all the previous examples this was shown as “Page”. But it can be set to “Search” by clicking on the small orange down arrow. The “Search” option allows you to search the latest Speedguide for text typed into the page entry cell. Take note the search is only conducted across the most recent Speedguide. The date field does not function in “Search” mode. Nevertheless, you will find the Search facility to be enormously useful because it can quickly reveal the most useful Speedguide pages for your particular task. For example, suppose you want information on credit default swaps, or CDSs. You can Search for “default” or “CDS”. Among the many matches you will quickly locate pages of interest that can then be used as a basis for navigation through older Speedguides, after resetting back to the “Page” option.

An important feature to be clear about is that the Speedguide date is not related to the date used to define your sample in Tick History. The two date fields serve different roles.

One final feature to know is that you can open multiple Speedguide pages by holding down Alt-N or by choosing File -> New Window. Only one Speedguide page at a time will accept requests but all will remain visible. This can be very useful for keeping one Speedguide page open when you wish to temporarily navigate away from it.