Sirca DataConsults

Sirca members are able to access the Sirca DataConsult team for assistance in accessing complex, non-standard or unwieldy data to support their research objectives. Examples include gaining access to the ASX CHESS database (see this post for more details on CHESS), accessing forms of data which are not downloadable from our online resources, and mashing data across multiple sources.

Our DataConsult team is expert in curating data for academic research and as a result tends to suffer from having a large number of requests to complete. We try hard to fulfill these requests as rapidly and efficiently as possible, however due to their nature and the economics of the academic segment it is not always possible to turn these jobs around quickly, particularly at peak times of the academic year when research projects are beginning.

At present we are also having to recreate our software request libraries for ASX data due to third party coypright issues which have emerged recently, as well as modernising some of the infrastructure which underpins data retrieval.

As a result there is currently quite a big backlog being managed by the team. In order to try and tackle the workload, we are seconding additional resource to the DataConsult function, however we do ask for understanding from members whilst we get to grips with things.

As a reminder, the current process to submit a DataConsult job is to submit a formal request using the DataConsult form. The form can be accesses from this page, by clicking on the “Data Consult Form” link at the bottom of the page. Requestees will note that this prompts you for a password. This password is held by the designated Sirca liaison point within your university; this steps act as validation for your research request by your university. Get in touch with us if you need to know who to contact for your university password.

Short Selling Data / Tick History

Researchers interested in accessing Short Selling data will be interested to know that Tick History does cover this where systematic access to relevant data is made available. Sirca is currently handling quite a few requests for short selling data from the Australian Securities Exchange currently, here is a bit of a guide about how to access this data.

Any valid RIC for the Australian market is also given a XXXstat.AX RIC to show short selling activity. For example, BHPstat.AX and RIOstat.AX. Enter these RICs into a new search request in Tick History and associate these with the data fields “Short Sales” under the “Transactions” category available for Time & Sales data.

Consolidated instrument codes / Tick History

Market fragmentation can be a complicated issue for researchers to get to grips with. The US markets obviously have more experience of this than most. This post covers some details about how to retrieve data from socks quoted on NYSE.

A quick timeline for you, in 2006 NYSE and ArcaEx merged to create NYSE Arca, and then in 2007 NYSE announced its merger with the American Stock Exchange.

The extension “.K” is used for any Consolidated NYSE, NYSE Arca or NYSE Amex instrument, where the root code is 4 or 5 characters.
 
These instruments used to be named with a .PX suffix and represented Consolidated issues on the NYSE Arca exchange exclusively. When NYSE adopted codes of 4 or 5 characters to represent instruments traded on these 3 venues (post Arca and Amex mergers) it could not use them without a suffix exchange code, as the instruments would potentially conflict with page-based RICs, e.g. AAAA; so it was decided to code them as .K RICs.

examples: 

       BONE.A is Bacterin International trading on the Amex .
       BONE.K is Bacterin International trading on the Amex Cons. and it includes all trading activity on the other regional exchanges (excluding NYSE)

       ALEX.N is Alexander and Baldwin trading on the NYSE.
       ALEX.K is Alexander and Baldwin trading on the NYSE Cons and it includes all trading activity on the other regional exchanges (excluding Amex)

Tick History / Exchange Qualifiers

We often get asked for details about the “qualifiers” which are associated with Tick History data retrieved from individual exchange venues. Wherever possible Thomson Reuters Tick History relays qualifiers sent from individual exchange venues, translating these into a series of Tick History specific qualifiers. If we focus on the Australian Securities Exchange cash equities venue for example, the following list of qualifiers is used in Tick History:



Please note that qualifiers with the suffix [GV4_TEXT] can be combined, for example, XTMO[GV4_TEXT] would mean Croosed Trade and Morning Open Price Match.

Please contact us if you need further details about the qualifiers pertaining to your research area.

Tick History / ASX “Qualifiers”

We often get asked for details about the “qualifiers” which are associated with Tick History data retrieved from individual exchange venues. Wherever possible Thomson Reuters relays qualifiers sent from individual exchange venues, translating these into a series of Tick History specific qualifiers. If we focus on the Australian Securities Exchange cash equities venue for example the following list of qualifiers is used in Tic History:



Open[USER] Open Price
High [USER] High Price
Low [USER] Low Price
Open|High [USER] Open and High Price
High|Low[USER] High and Low Price
Open|High|Low [USER] Open Message

Spot Foreign Exchange RICs

The breadth of the Tick History database means that challenges can present themselves even when users are downloading an innocuous instrument such as tick data for a single currency in the spot foreign exchange markets. Consider the Canadian Dollar. CAD= is the Reuters Instrument Code for this (see this post for background on how FX RICs are constructed), if we search for this instrument in the Search tool on the database, we are presented with a range of CAD= extensions. This post is to help users identify what all these options are.

Start by opening up the Search box from a new request window. Click on the down arrow next to “Asset Class” and select “FX”. In the identifier box, ensure that “RIC” and “Starts With” are in place, and then type “CAD=” into the empty box. Click the “Search” botton and you will be presented with around a hunded options.

CAD= is the Super RIC for the Canadian Dollar and will present you with the number of US cents and dollars for 1 Canadian Dollar. The data presented in the Super RIC is sourced from the many hundred of FX interbank participants who rely on Thomson Reuters for real time data. Market participants usually input their own indicative dealable rates into the Thomson Reuters network, these are quality checked and then streamed into the constantly updating spot FX rate. Tick History users will see these updates attributed to each market particpant in the field headed “Ex/Cntrb.ID” which is associated with RICs such as CAD=. It is also possible to retrieve a specific contributors updates by adding the four letter identifier for that contributor to the CAD= Super RIC, eg. CAD=TDFX for Toronto Dominion. These individual contributors account for the majority of the options which your search term has retrieved.

It is possible to create a timeseries for this RIC, see this post for details about this. Two specific RICs also exist which snapshot the Super RIC at preset intervals. CAD=S snapshots the Super RIC at 2 minute intervals, and CAD=X snapshots this at 10 minute intervals.

You will also see CAD=A (limiting your request to AsiaPacific based contributors to CAD=), =CA (for Canadian contributors), =E (for European contributors), =HK (for Hong Kong based contributors), =J (for Japanese contributors), =N (for North American contributors) and =SEA (for South East Asian based contributors).

The Canadian Dollar is also widely traded on the Thomson Reuters operated Dealing Spot Matching service, where interbank FX market participants are able to electronically match buy and sell orders. This presents real order book and trade data for the Canadian Dollar rather than indicative dealable rates which are retrieved via the Super RIC.

CAD=D2 will present you with Trade and Quote information, along with associated millisecond timestamps and relevant qualifiers . Traded prices are actual dealt prices, Quotes show new bid and offer prices which a market maker has input into the system. You will understand that the rates shown next to =D2 rates are not attributed to specific market participants.

Sharp eyed users will also see extensions, =D, =D21, =D3, =D4 and =D5 in the Search results box. These RICs are a variety of Thomson Reuters internal RICs and RICs set up for the purposes of other Thomson Reuters services, and are therefore not relevant in the context of the Tick History database.

In this post we have focussed on the Canadian Dollar. Super RICs exist for every currency, =D2 RICs exist for currencies which are traded on the Thomson Reuters Spot Matching platform. See this link for more details.

Commodities & Futures – most requested instrument codes

One of the most common requests for help we receive from academic users of Tick History is how to find instrument codes for commodities and futures contracts. These contracts evolve steadily as market structures evolve and as exchanges merge and consolidate. This post is designed to help members and subscribers rapidly retrieve the most sought after international commodities and futures contracts. We have also listed a link to the underlying contract specification offered by the relevant exchange, and, where available, a link to the relevent wikipedia entry for further context.

Drop us a line if you would like us to feature more of these.

The listing below makes reference to Reuters Instrument Code chains and continuation codes. Click on the links to find out more about these.

Energy

Contract: ICE Brent Crude Futures
RIC Chain: 0#LCO:
Nearest Month Continuation RIC: LCOc1
Contract Specification: https://www.theice.com/productguide/ProductDetails.shtml?specId=219
Wikipedia: http://en.wikipedia.org/wiki/Brent_Crude

Contract: CME Group (NYMEX) Light Sweet Crude Oil Futures
RIC Chain: 0#CL:
Nearest Month Continuation RIC: CLc1
Contract Specification: http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude.html
Wikipedia: http://en.wikipedia.org/wiki/West_Texas_Intermediate

Contract: CME Group (NYMEX) RBOB Gasoline Futures
RIC Chain: 0#RB:
Nearest Month Continuation RIC: RBc1
Contract Specification: http://www.cmegroup.com/trading/energy/refined-products/rbob-gasoline_quotes_globex.html
Wikipedia: http://en.wikipedia.org/wiki/Price_of_petroleum

Contract: CME Group (NYMEX) Henry Hub Natural Gas Futures
RIC Chain: 0#NG:
Nearest Month Continuation RIC: NGc1
Contract Specification: http://www.cmegroup.com/trading/energy/natural-gas/natural-gas.html
Wikipedia: http://en.wikipedia.org/wiki/Henry_Hub

Contract: CME Group (NYMEX) Heating Oil Futures
RIC Chain: 0#HO:
Nearest Month Continuation RIC: HOc1
Contract Specification: http://www.cmegroup.com/trading/energy/refined-products/heating-oil.html
Wikipedia: http://en.wikipedia.org/wiki/Heating_oil

Metals

London Gold Fixing (PM)
RIC: XAUFIXPM=
Background: http://www.goldfixing.com/home.htm
Wikipedia: http://en.wikipedia.org/wiki/Gold_fixing

Contract: CME Group (COMEX) Copper Futures
RIC Chain: 0#HG:
Nearest Month Continuation RIC: HGc1
Contract Specification: http://www.cmegroup.com/trading/metals/base/copper.html
Wikipedia: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange

Contract: CME Group (COMEX) Gold Futures
RIC Chain: 0#GC:
Nearest Month Continuation RIC: GCc1
Contract Specification: http://www.cmegroup.com/trading/metals/precious/gold.html
Wikipedia: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange

Contract: CME Group (COMEX) Silver Futures
RIC Chain: 0#SI:
Nearest Month Continuation RIC: SIc1
Contract Specification: http://www.cmegroup.com/trading/metals/precious/silver.html
Wikipedia: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange

Contract: CME Group (NYMEX) Platinum Futures
RIC Chain: 0#PL:
Nearest Month Continuation RIC: PLc1
Contract Specification: http://www.cmegroup.com/trading/metals/precious/platinum.html
Wikipedia: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange

Contract: CME Group (NYMEX) Palladium Futures
RIC Chain: 0#PA:
Nearest Month Continuation RIC: PAc1
Contract Specification: http://www.cmegroup.com/trading/metals/precious/palladium.html
Wikipedia: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange

Agriculture

Contract: CME Group (CBoT) Corn Futures
RIC Chain: 0#C:
Nearest Month Continuation RIC: Cc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/corn.html

Contract: CME Group (CBoT) Wheat Futures
RIC Chain: 0#W:
Nearest Month Continuation RIC: Wc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/wheat.html

Contract: CME Group (CBoT) Soybeans Futures
RIC Chain: 0#S:
Nearest Month Continuation RIC: Sc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/soybean.html

Contract: CME Group (CBoT) Soybean Meal Futures
RIC Chain: 0#ZM:
Nearest Month Continuation RIC: ZMc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/soybean-meal.html

Contract: NYSE Euronext (LIFFE) Cocoa Futures
RIC Chain: 0#LCC:
Nearest Month Continuation RIC: LCCc1
Contract Specification: http://www.euronext.com/trader/contractspecifications/wide/contractSpecifications-3064-EN.html?docid=47370

Contract: NYSE Euronext (LIFFE) Robusta Coffee Futures
RIC Chain: 0#LRC:
Nearest Month Continuation RIC: LRCc1
Contract Specification: http://www.euronext.com/trader/contractspecifications/derivative/wide/contractspecifications-2864-EN.html?euronextCode=RC-LON-FUT

Contract: ICE Coffee C Futures (Arabica)
RIC Chain: 0#KC:
Nearest Month Continuation RIC: KCc1
Contract Specification: https://www.theice.com/productguide/ProductDetails.shtml?specId=15

Contract: NYSE Euronext (LIFFE) White Sugar Futures
RIC Chain: 0#LSU:
Nearest Month Continuation RIC: LSUc1
Contract Specification: http://www.euronext.com/trader/contractspecifications/wide/contractSpecifications-3064-EN.html?docid=47376

Contract: CME Group (NYMEX) No. 11 Sugar Futures
RIC Chain: 0#SB:
Nearest Month Continuation RIC: SBc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/softs/sugar-no11.html

Contract: CME Group (NYMEX) Cotton Futures
RIC Chain: 0#CT:
Nearest Month Continuation RIC: CTc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/softs/cotton.html

Contract: ICE Frozen Concentrated Orange Juice Futures
RIC Chain: 0#OJ:
Nearest Month Continuation RIC: OJc1
Contract Specification: https://www.theice.com/productguide/ProductDetails.shtml?specId=30

Contract: CME Group Live Cattle Futures
RIC Chain: 0#LC:
Nearest Month Continuation RIC: LCc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/livestock/live-cattle.html

Contract: CME Group Feeder Cattle Futures
RIC Chain: 0#FC:
Nearest Month Continuation RIC: FCc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/livestock/feeder-cattle.html

Contract: CME Group Frozen Pork Bellies Futures
RIC Chain: 0#PB:
Nearest Month Continuation RIC: PBc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/livestock/frozen-pork-bellies.html

Contract: CME Group Lean Hogs Futures
RIC Chain: 0#LH:
Nearest Month Continuation RIC: LHc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/livestock/lean-hogs.html

Contract: CME Group Random Length Lumber Futures
RIC Chain: 0#LB:
Nearest Month Continuation RIC: LBc1
Contract Specification: http://www.cmegroup.com/trading/agricultural/lumber-and-pulp/random-length-lumber.html

Wikipedia link for all agricultural contracts listed above: http://en.wikipedia.org/wiki/List_of_traded_commodities