Sirca / Share Price & Price Relative database

In 2010, Sirca and the University of New South Wales entered into an agreement to migrate the production of databases previously undertaken by the Australian Business School based Centre for Research in Finance to Sirca. This included the impressive Australian share price and price relative (SPPR) database.

SPPR is an historical record of share prices and calculated price relatives of all Australian listed and previously listed companies with fully paid shares.

For each company, the share price, dividends, adjustments for share issues and reconstructions, number of shares on issue and price relatives are held on a monthly basis. Pertinent company and trading information is also supplied. The SPPR covers the period from December 1973 to December 2010. It includes earlier price relatives for a smaller subset of companies, some back as far as 1958.

The SPPR is updated annually, at present updates are sent to subscribers on a DVD. New subscribers receive the full history, as well as ongoing updates. Sirca is obviously planning to make this database avialable on-line as an option on the Sirca product portal; at present access to SPPR is not included as part of standard Sirca membership.

Further details about the database can be accessed here.

SPPR is an important resource which enables researchers to factor historical realities into their work thus making point-in-time databases which tend to reflect the way a market was structured and constituted on a specific date, much more valuable and accessible for their research. SPPR therefore enables researchers to use historical records as part of contemporary research by using the database’s persistent identifiers, thus allowing users to move backwards and forwards through entity changes. This obviously helps address some of the usual concerns of data bias caused by the omission of data pertaining to delisted entities.

An increasing number of universities also rely on the entity tracking part of SPPR by making this the back bone to the way they link data pertaining to individual active and delisted companies, to data sourced from other databases.

LIBOR OIS Spreads / Tick History

We are currently receiving quite a few requests for help from academics looking into derivative classes which up until recently would have been deemed mysterious and complex. One such group is spreads between LIBOR and OIS. The wikipedia entry for LIBOR – OIS spreads is: http://en.wikipedia.org/wiki/LIBOR-OIS_spread

Data exists for 10 currencies: EUR, GBP, USD, JPY, CHF, CAD, AUD, NZD, SEK, DKK.

6 tenors are available for EUR, USD, GBP and JPY: 1 week, 1 month, 2 months, 3 months, 6 months and 1 year.

5 tenors are available for CAD, CHF, AUD, NZD, DKK and SEK: 1 month, 2 months, 3 months, 6 onths and 1 year.
It is possible to use the Tick History database to retrieve historical LIBOR OIS Spread fix rates as well as tick data.

1. Fix’s

For the LIBOR OIS Spread Fix rates, data is calculated on each day that a LIBOR fix is published. The “ask” price for the relevant OIS instrument is snapshot at 11h00 London time, across each applicable currency and tenor. Once the LIBOR rates are published, the OIS rate is subtracted from this, and mltiplied up by 100.

A chain is available which shows the full coverage for LIBOR OIS Fix’s, enter the following RIC: 0#LIBOROISF=R

Individual instruments are available using the following RIC structure:  XXXL-YYYF=R

XXX is the three letter currency code, and YYY describes the tenor as follows:

01W for 1 week
01M for 1 month
02M for 2 months
03M for 3 months
06M for 6 months
01Y for 1 year

As an example, the RIC for the LIBOR OIS spread fixing for the Euro, with a tenor of 1 week, is “EURL-01WF=R”.

Coverage of this asset class started on 2 May 2009.

2. Tick data

LIBOR OIS Spread Tick data is updated everytime there is an update to the underlying OIS price on the Thomson Reuters network, and when LIBOR is published. Again the OIS rate is subtracted from the prevailing LIBOR rate, and the result is multiplied by 100.

A chain is available which shows the full coverage for LIBOR OIS spreads, enter the following RIC: 0#LIBOROIS=R

Individual instruments are available using the following RIC structure: XXXL-YYY=R

XXX is the three letter currency code, and YYY describes the tenor as follows:

01W for 1 week
01M for 1 month
02M for 2 months
03M for 3 months
06M for 6 months
01Y for 1 year

As an example, the RIC for the LIBOR OIS spread fixing for the Euro, with a tenor of 1 week, is “EURL-01W=R”.

Coverage of this asset class started on 2 May 2009.

Tick History – the dreaded “Settings” button

Most academic users of the Tick History database are interested in efficient extraction of data, rather than the technical intricacies of the database. At times however it just pays to spend a few minutes understanding how to configure the database to help with data requests. The good news is that this configuration is usually a set & leave, rather than something which has to be frequently updated.

Click on the Settings button from the product menu bar, you will be presented with “Preferences”, “Default Settings”, “Change Password” and “Change Security Question”. For obvious reasons we will concentrate on the “Preferences” and “Default Settings”.

1. Preferences

Click on “Preferences” and you will be presented with three sub categories.

(i) Expand Chain RIC

As we consider this it is important to remember that the date which is showing in the bottom left of the set up screen defines the point in time over which the database is operating. A chain has been defined in a previous post, click here for more details. It is obviously made up of a group of assets which can, and usually do, vary over time. Imagine how the constituents of a stock market index change over time for instance. This setting tells the database how to handle chain expansion requests, either by snapshoting the constituents of the chain at the “From:” date, or at the “To:” date (obviously both of these dates are defined by the user). Alternatively, you can collect all the constituents of the chain over the entire date range. Finally, it is possible to eliminate the chain expansion capability fully by checking the “Never” button.

This earlier post gives you more about this setting.

(ii) Verify RICs

RIC verification checks whether your specified RICs actualy existed. It safeguards against unwanted data requests both from mistyped RICs and mistaken specifications, either in tickers or exchange identifiers. So it saves you from requesting data that does not exist. It is important to realise that RIC verification occurs over specified intervals. Three options are specified here. If you are confident about when a RIC exists you can choose “Over date range:”. TRTH then searches for your RIC only in the sample period defined by your “From” and “To” dates. This option is faster than searching the entire data set, which is what happens when you choose from “1996 onwards”. However, choosing “1996 onwards” is a better choice when you are less sure of trading dates because it is equivalent to asking if your RIC ever existed in TRTH. A second advantage of choosing “1996 onwards” is that all available information is gathered about changes connected with each RIC over the life of TRTH. This change related information is what you see reported in the New Request screen. In contrast, “Over date range” only delivers that change data as it was observed in your sample period. The final RIC verification option is “Never”. It is appropriate when you do not want RIC verification and its attendant reporting of changes.

(iii) Others, including timeout default

The timeout default is pretty self explanatory. The other three check boxes are worth considering. The first and second box ask the user whether they want to be presented with the previous search request amd results, this reflects the fact that users tend to spend a bit of time fine tuning their requests before submitting them, and as a result it helps not having to set up the search again every time a refinement is required. The third box asks for confirmation that you are happy working with the Reuters Instrument Code symbology.

2. Default Settings

Click on “Default Settings” and you will be presented with three sub categories.

(i) General

This tab is important in that it sets the clock at either “Local Exchange Time” or “GMT/UTC Time”. Local Exchange Time will relate to the clock associated with a specific exchange, it is obviously pretty meaningless for the purposes of comparing exchanges which sit across different timezones, or for asset classes and data which does not sit on an exchange.

Users can also set their preferred date format (European versus US etc).

The three check boxes are important in that they populate otherwise empty fields that have not changed over time, allow you to include the current RIC for the instrument in the data request, and, if available, will adjust the data for any applicable corrections and cancellations which may have been published by a venue subsequent to the original data being recorded.

(ii) Scheduling

Where a user would like to set up a regularly scheduled database retrieval request, this is where the defaults for this are established.

(iii) Data Delivery

This allows you to define maximum individual files sizes from 10MB up to a maximum of 500MB. Under file format you can choose to split large data requests into separate files per instrument. Finally, you can avail yourself of FTP push functionality if the default FTP pull from your university email address restricts you. This, along with a post about API access to the database, will be subject of a future post.

Index Options and Futures – most requested codes

Last week’s post about the major world stock market indices has prompted a few follow up questions about how to access the relevant futures and options contracts for these indices. The list below follows the format of the earlier post about commodities futures contracts, and gives a link to the relevent contract home page. Again, do not hesitate to get in touch if you need us to add any other contracts.

USA

Contract: Standard and Poor’s 500 Futures
Exchange: CME Group
RIC stem: SP
Chain of futures contracts: 0#SP:
Chain of options on futures contracts: 0#SP+
Link to contract home page: http://www.cmegroup.com/trading/equity-index/us-index/sandp-500.html

Contract: DJIA ($10) Futures
Exchange: CME Group (CBOT)
RIC stem: DJ
Chain of futures contracts: 0#DJ:
Chain of options on futures contracts: 0#DJ+
Link to contract home page: http://www.cmegroup.com/trading/equity-index/us-index/dow.html

Contract: NASDAQ 100 Futures
Exchange: CME Group
RIC stem: ND
Chain of futures contracts: 0#ND:
Chain of options on futures contracts: 0#ND+
Link to contract home page: http://www.cmegroup.com/trading/equity-index/us-index/nasdaq-100.html

Canada

Contract: Standard and Poor’s TSX 60 Index Standard Futures
Exchange: Montreal Exchange
RIC stem (futures contract): SXF
Chain of futures contracts: 0#SXF:
Chain of options on futures contracts: 0#SXO*.M
Link to futures contract home page: http://www.m-x.ca/produits_indices_sxf_en.php
Link to options contract home page: http://www.m-x.ca/produits_indices_sxo_en.php

Mexico

Contract: MexDer IPC Futures Contract
Exchange: Mexican Derivatives Exchange
RIC stem (futures contract): IPC
Chain of futures contracts: 0#IPC:
Chain of options on futures contracts: 0#IPC*.XD
Link to futures and options contracts home page: http://www.mexder.com.mx/MEX/Contract_specifications.html

Brazil

Contract: BOVESPA Index Futures
Exchange: BM&F BOVESPA
RIC stem: IND
Chain of futures contracts: 0#IND:
Chain of options on futures contracts: choose an individual futures contract, eg INDZ1 and add an “+” as an extension, with the chain (0#) command, eg 0#INDZ1+
Link to futures and options contracts home page: http://www.bmfbovespa.com.br/shared/iframe.aspx?altura=400&idioma=en-us&url=www.bmf.com.br/bmfbovespa/pages/contratos2/contratostabela2.asp?contrato=financeiros

Europe

Contract: EURO STOXX 50 Index Futures
Exchange: Eurex
RIC stem: STXE
Chain of futures contracts: 0#STXE:
Chain of options on futures contracts: 0#STXE*.EX
Link to futures and options contracts home page: http://www.eurexchange.com/trading/products/IDX/STX/BLC/products_en.html

United Kingdon

Contract: FTSE 100 Index Future
Exchange: NYSE Euronext (LIFFE)
RIC stem: FFI
Chain of futures contracts: 0#FFI:
Chain of options on futures contracts: 0#LFE*.L
Link to futures contract home page: http://www.euronext.com/trader/contractspecifications/derivative/wide/contractspecifications-2830-EN.html?euronextCode=Z-LON-FUT

France

Contract: CAC 40 Index Future
Exchange: NYSE Euronext
RIC stem: FCE
Chain of futures contracts: 0#FCE:
Chain of options on futures contracts: 0#FCHI*.p
Link to futures contract home page: http://www.euronext.com/trader/summarizedmarketderivatives/summarizedmarketderivatives-3622-EN.html?contractType=9&mnemo=FCE&selectedMepDerivative=1

Germany

Contract: DAX Futures
Exchange: Eurex
RIC stem: FDX
Chain of futures contracts: 0#FDX:
Chain of options on futures contracts: 0#GDAX*.EX
Link to futures contract home page: http://www.eurexchange.com/trading/products/IDX/DAX/FDAX_en.html
Link to options on futures contract home page: http://www.eurexchange.com/trading/products/IDX/DAX/ODAX_en.html?mode=specifications

Japan

Contract: Nikkei 225 Futures
Exchange: Osaka Securities Exchange
RIC stem: JNI
Chain of futures contracts: 0#JNI:
Chain of options on futures contracts: 0#JNI*.OS
Link to futures contract home page: http://www.ose.or.jp/e/derivative/225futures

Hong Kong

Contract: Hang Seng Index Futures
Exchange: Hong Kong Exchanges and Clearing Ltd
RIC stem: HSI
Chain of futures contracts: 0#HSI:
Chain of options on futures contracts: 0#HSI*.HF
Link to futures and options contracts home page: http://www.hkex.com.hk/eng/prod/drprod/hkifo/HSIFO.htm

Australia

Contract: ASX SPI 200 Index Futures
Exchange: Australian Securities Exchange
RIC stem: YAP
Chain of futures contracts: 0#YAP:
Chain of options on futures contracts:
Link to futures contract home page: http://www.sfe.com.au/content/sfe/trading/con_specs.pdf

Stock Exchange Indices – most requested codes

A few weeks back we posted a list of the world’s most traded commodities contracts. This has proven to be one of our most popular posts, perhaps illustrating how academic users of Tick History struggle to identify the most important instruments from within an asset class from those with limited or no liquidity. This perhaps also reflects on some of challenges we have in designing instrument search functionality to cater for users with limited experience of the financial markets, we are working on that.

We are following up the earlier post with a list of the most requested equity market indices. You will see below a list of instrument codes for these as well as links back to the specific index home pages for further context. It is important to realise that this data is owned by a number of international index providers and stock exchanges; at present these companies kindly endorse the way academic users of Tick History can access their data, periodically however, third party content owners tighten up the way their data can be viewed which may mean that their data will no longer be readily available. Please contact us if you need further information about this, or if  you would like us to add other indices to the list below.

Europe
Index Name: FTSE Eurofirst 300
RIC: .FTEU3
Chain: 0#.FTEU3

United Kingdom
Index Name: FTSE 100
RIC: .FTSE
Chain: 0#.FTSE

Germany

France

United States
Index Name: Nasdaq Composite
RIC: .IXIC
Chain: 0#.IXIC

United States
Index Name: Dow Jones Industrial Average
RIC: .DJI
Chain: 0#.DJI

Japan
Index Name: Nikkei 225 Average 
RIC: .N225
Chain: 0#.N225

China
Index Name: Shanghai SE New Composite Index 
RIC: .SSECI
Chain: 0#.SSECI

Hong Kong
Index Name: Hang Seng Index 
RIC: .HSI
Chain: 0#.HSI

India
Index Name: Standard and Poor’s CNX Nifty 
RIC: .NSEI
Chain: 0#.NSEI

India
Index Name: BSE SENSEX
RIC: .BSESN
Chain: 0#.BSESN

Brazil
Index Name: BVSP Bovespa Index (Indice Bovespa)
RIC: .BVSP
Chain: 0#.BVSP

Russia
Index Name: RTS Index 
RIC: .IRTS
Chain: 0#.IRTS
Index Home Page: http://www.rts.ru/?tid=620

Australia
Index Name: Standard and Poor’s ASX 200 
RIC: .AXJO
Chain: 0#.AXJO

Canada
Index Name: Standard and Poor’s TSX Composite 
RIC: .GSPTSE
Chain: 0#.GSPTSE

Mexico
Index Name: MXSE IPC (Indice de Precios y Cotizaciones)
RIC: .MXX
Chain: 0#.MXX
Index Home Page: http://www.bmv.com.mx/

South Africa
Index Name: FTSE JSE All Share Index 
RIC: .JALSH
Chain: 0#.JALSH