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.