Cancellations and Corrections

We get asked quite often about how Tick History users can access messages which exchanges send through which highlight post event cancellations and/or corrections. The good news is that the information is available, or at least for those exchanges which have the policies and capabilities in place to issue cancellations and corrections.

Tick History processes this information under Message Type “Correction”, and enables users to trace back to the original trade which the cancellation or correction message is referring to. Users can also change their default settings if they wish for the database to automatically adjust the original data with the cancellation or corrected data. The setting for this is under the “Settings” item on the menu bar, then click on “Default Settings”and highlight the “Apply Corrections and Cancellations” option.

This functionality is currently supported for 76 exchanges on Thomson Reuters Tick History, each of which has subtly different ways of handling these kind of messages. Sirca has developed a set of market rules which digest the various message types received from individual exchanges and make these available to you per the description above with an appropriate Tick History qualifier. As ever, it is also possible access the raw data from the original exchange.

A full user guide for Cancellations and Corrections is available from the Tick History landing page, once you sign in. Look out for the link to “Cancellation and Correction User Guide v5.6”.

Visualisation of market events

We quite often get asked whether we can help provide some data to help with themes being discussed within tutorials or seminars. The chart below is one such attempt. This shows the movement in the Japanese Nikkei 225 benchmark between that fateful Friday 11th March and Tuesday 22nd March. The index data was sourced from Thomson Reuters Tick History, associated Reuters news data can be sourced from the Sirca Global News database.

We used Tibco Spotfire to render the N225 tick data into a line chart, and have done a simple label overlay highlighting two of the tragic news stories from that week, along with some labels showing open and closing N225 rates.

It is obviously possible to associate all relevant news stories with the price data and to visualise this. In fact this is probably one of the most active areas of research at present and helps to illustrate the role which Sirca plays in helping academics to work across disparate data sets and to find new ways of surfacing interesting data and analytics.


Sirca – Risk Measurement Service

A quick post to let interested parties know that the December 2010 update for the quarterly Sirca Risk Management Service (RMS) is now being sent to RMS subscribers.

RMS provides risk measures and associated data for the senior security of all listed companies traded on the Australian Securities Exchange (ASX), including statistics like the standard deviation of the equity rate of return, OLS alpha and beta coefficients and their corresponding one standard error confidence intervals, the squared correlation coefficient from the regression, a test for the effects of thin trading on the OLS estimates, alpha and beta estimates (and corresponding confidence intervals) modified for the effects of thin trading by the Scholes-Williams tecnique.

Bonds

We have been handling a number of issues recently relating to Fixed Income coverage on Tick History. The way fixed income markets across the world vary in structure provides a number of specific challenges for the database. Probably the most problematic is the way we see concentrated liquidity in specific venues in some markets, where the highest quality tick data pertaining to these markets is hidden away behind third party pay-walls owned and operated by financial market participants. Market participants who operate these venues have obviously worked hard to develop and defend market share in these asset classes, so I guess we can’t blame then for wanting to benefit from the value of the trading data contained within these venues. It does give academic users some headaches though once we communicate the fees associated with accessing these subsets of data, and arguably this does result in research bandwidth going elsewhere, to areas where data is easier to source.

We are also working through a series of further quality issues to try and be a bit more consistent and accurate in the way data pertaining to Fixed Income instruments are mapped to the array of Fields available for Fixed Income data. The complexity and breadth of the asset class has meant that there has been some quality issues in this area. We are working hard to fix these.


You can obviously use the “Search” feature in Tick History to seek specific Fixed Income instruments. Start by setting up a new request, and click on the Search box. In the drop down menu next to “Asset Class:”, select Fixed Income. Then consider “Instrument Type” by clicking on “Select Types:”. You can choose between the following:

(i) Treasury Debt [33] – this is for normal categories of Government Debt

(ii) Sovereign Debt [49] – this is for Semi-government (eg. State debt as opposed to Federal debt), Municipal, Provincial, Agency (eg. Inter-American Dev Bank, World Bank) and Brady debt

(iii) Corporate Debt [81] – this is for standard Corporate debt, along with Eurobonds, Medium Term Notes and Pfandbriefen

(iv) Corporate Debt Spreads [92] – this for is for Credit Default Swaps

(v) Mortgage-backed Debt [65] – self-explanatory

The Fixed Income Search box exposes quite a bit of reference data pertaining to fixed income issuance meaning that you can search according to all the normal fixed income keys (eg. name, symbol, maturity, coupon rate, currency) as well as with a few extra keys which rely upon some of the meta data available to us from the Thomson Reuters data universe (eg. issue type, this being a level below (i) to (v) above, and contributor).

As discussed above there are a few areas where data is held behind a pay-wall and therefore not readily available to academic users. The area which causes the greatest number of questions is without doubt US Government Debt. Broking firms and platforms such as BGCantor, ICAP BrokerTec, Tullett Prebon and Tradeweb offer great quality sources of tick data for all categories of US government debt, but are all subject to additional fees. Sirca is happy to make representations to these firms on behalf of academics seeking access, but we cannot give any guarantee that your request will be supported, we can but try.

In order to help you to identify the third party, here is a quick summary of some of the RIC suffix’s which you will see as you search across US Government Debt:

=BTEC
indicates data owned by ICAP Brokertec
(see http://icap.com/markets/interest-rates/government-bonds/us-treasury.aspx)

=CNTR
indicates data owned by BGCantor
(see http://www.bgcantor.com/dataprod/ust/index.htm)

=TMKR
indicates data owned by Tullett Prebon
(see http://www.tullettprebon.com/marketdata/marketdata_tpispecialistdata.aspx)

=TWEB
indicates data owned by Tradeweb
(see http://www.tradeweb.com/services/market_data)

If you wish to access some readily available US Government Debt data, it is possible to access tick data at a 10 minute delay. The chain for US benchmarks (1 month out to 30 years) is <0#USBMK=X>. It is probably also worth you looking at the Speedguide page US/GOVT1 for some more ideas.

Sirca – Support Notice

Sirca members and subscribers will be aware that Sirca’s core purpose is to support academic research into the financial markets, via the provision of data services and IT infrastructure.

Sirca’s work as a product development partner of Thomson Reuters in respect of their market leading Thomson Reuters Tick History database is well known. A by-product of our work for Thomson Reuters is that we are able to provide access to the Tick History database to Sirca academic members in Australia & New Zealand, and to Thomson Reuters and Sirca academic subscribers in other countries.

If you are an academic user of Thomson Reuters Tick History with a support question, bring it straight to us here at Sirca. We are experienced in dealing with the type of queries which academic users have, and this will help Thomson Reuters own support personnel focus on their core commercial customers who tend to have very different types of support queries.

You may also want to take a look at some of the support literature which is posted on the Tick History home page, as well as some of the content on “Dinkum Data”. If you need to get in touch with us, here are the contact points for you:


David Simmonds


Dr. David Simmonds










Diccon Close


Diccon Close
Email: diccon.close@sirca.org.au









Donald Winchester
Email: donald.winchester@sirca.org.au
“Picture Pending”

Sirca – Technical Notice

A quick post to let you know that access to Sirca’s databases will be impacted by some planned technical work next week. This work relates to a relocation of the computer hardware which supports our databases to a new purpose-built facility. Since this means those machines must be powered down, some SIRCA services will be briefly offline. 

The first services to be affected will be Australian Equity Tick History (AETH), Australian Company Announcements (ACA) and Thomson Reuters Global News (TRGN). 

AETH, ACA and TRGN will be offline during 07:00 and 22:00 (Australian Eastern Daylight Savings Time) on Tuesday 8th March 2011.

Thomson Reuters Tick History (TRTH) for academic users will remain online that day, with no obvious changes expected for service levels. However, TRTH services may be disabled over the next four weekends (12th/13th, 19th/20th, 26th/27th March and 2nd/3rd April) as TRTH dedicated hardware is also moved in stages.

We have tried to time these disruptions to minimise inconvenience to our users and apologise for any trouble this causes.