Identifying instruments from the Energy markets in Tick History

We have recently been working with a researcher in London who has been studying various aspects of the Energy markets, and test driving Tick History at the same time. This has shed some interesting light on the challenges of identifying and searching for instruments in Tick History.
A specific problem in this instance is the fact that our user is researching some of the most complex market structures for data vendors to incorporate easily into their tools. The data will invariably be there, the challenge is how to find and extract it, given that it is not as homogeneous as things like the equities asset class where assets are neatly listed on various exchanges around the world with a relatively similar structure. Furthermore, we are dealing with a fast evolving market where contracts come and go fairly frequently, added to the fact obviously that governments tend to tinker with market structures in this area.

Here is a quick feature on how to access data from the Coal, Crude Oil and Natural Gas markets.

1. Coal

Tap in page “COAL” into the Speedguide. Make sure that you adjust the date field in the Speedguide back a couple of days in order to ensure that you have covered a complete market trading day as measured in GMT.
Let’s start with the Coal Futures guide. Click on the item and you will be taken to a few mysterious codes. This is the way Tick History has to chop up a large Thomson Reuters index page in order for it to be rendered properly within the Tick History speedguide. We are working on cleaning this up.
Click on the first of these codes and you should be able to see futures prices pertaining to regions such as Newcastle (in Australia) and “ARA” (Amsterdam/Rotterdam/Antwerp).
The chain of Aussie Newcastle Coal futures, listed on the ICE exchange, for example, is “0#NCF:” , if you click on this you will be presented with the list of individual futures contracts which you can automatically insert into a Tick History request set-up. Similarly, ARA API2 Coal Futures on ICE have the chain “0#ATW:” .

You will probably also be interested in clicking on the “IEU/NCF” and “IEU/ATW” items which give greater definitions about the specific contracts.

If this is your market of interest we suggest you then back up a level in the Speedguide and take a look at items , and (the other sub items under the “COAL/1 item. Please note however, that pages

Coal spot prices are available in a similar way, by going two levels back up the Speedguide, and clicking on , and then looking through the various sub items beginning with page , especially page where you will see a reference for “WLD Coal Spot Cash Prices” which includes code “0#MCC-CASH”. Click on this, and you will see a list of world coal cash prices, such as code “CO-FOBNWC-AU” for spot Newcastle Coal (history back to April 2003).

2. Crude

Similar approach here. Your starting point in the Speedguide this time can be page “ENERGY”. Top left you will see an item called , click on this. Again you will see a series of sub pages. Click on these starting with , for a list of futures contracts. By the time you get to page you will see the well known identifier, LCO, for the Brent Crude Oil future listed on ICE in London. Again, you will see the futures chain as “0#LCO:” , click on this and add the individual futures contracts to your request.

For spot prices, go two levels up the Speedguide, back to page “ENERGY”, and you will see a reference to page under the “Cash OTC Price” column heading. Click on this, and begin clicking through the sub pages beginning with . On for example you will see an item called “European Crudes”, this is the item which lists spot oil prices of relevance to Europe, and is a chain of codes as follows: “0#C-E” .

Look down this list for the spot contract which you are interested in, you will see Brent Spot  for example with the code “BRT-“, you can either enter this using “BRT-” into a new request screen, or place it in a new request directly from the Speedguide.

3. Natural Gas

You guessed it, start on page “ENERGY”, click on , you will be presented with the dreaded sub pages again. Once you get to you will see a list of European futures contract, including contracts such as the UK’s National Balancing Point futures contract listed on ICE which is assigned chain “0#NGLN:” . This contract has been going for many years something you can ascertain by inserting the chain into a new request on Tick History and adjusting the date field back to the early 2000’s. Furthermore, the monthly variant on NGLN (see chain “0#NGLNM:”) has a continuation RIC, ie. nearest month contract which was set up in 2007.

In relation to accessing historical data back over several years, a challenge with these markets is that contracts come and go quite quickly, particularly as markets are created and mature. This means that it is sometimes hard to get multi-year histories from just the one contract, best advice we can give here is that you consult with someone who has market knowledge with a view to stitching together histories across relevant contracts. As a fall back, it is obviously possible to take the date pertaining to your Speedguide search back into history to see what the various Reuters Energy Speedguides were indicating back through the years. This on it’s own is interesting in terms of observing how the energy markets have evolved  and grown over the past 15 or so years.