Market Capitalisation in Thomson Reuters Tick History

There is no direct field in TRTH for market capitalisation however it’s still possible to retrieve this using a simple two-step process.

Once you’ve populated your instrument list, under the fields tab and Corporate Actions message type, select the field Default Share Type > Thousands of Shares. This will give you the field for number of shares outstanding. You can use this along with last prices to calculate market cap figures. It will be required to retrieve two separate requests for the different Message Types, one for shares outstanding and one for last prices.

CRD Documentation

Documentation for the data in the CRD is available via the Data Library > CRD folder. The documentation provides the field descriptors for both the price and announcement files. The Bellamy report referenced on page 3 of the CRD user guide for the calculation of dilution factors in the price files is also available in the same location.

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.

Where to get help for TRTH?

Help is available in many places for users of TRTH. Much of it is located on the home page of a new TRTH session. The next screen shot highlights examples each of these.

You can see six different regions highlighted in that image. They all provide useful information to TRTH users.

On the left hand side:

  • the brown oval surrounds the Speedguide link. The Speedguide is a comprehensive reference source describing TRTH components as they were throughout TRTH’s history. The Speedguide has its own date parameter for that purpose, which is independent of dates defined for your sample period. The Speedguide is explained in more detail here Speedguide Explained
  • the black box is where you go for detailed TRTH help. Everything is covered here. There is information to help you get started quickly. Other information on Gaps in data coverage; a description of Message Types; and a Reference section providing detailed explanations of Brokerage Characters, RIC Chains, the Speedguide and importantly, Message Qualifiers. Follow the Message Qualifiers link to download a PDF which links to further files describing all of the many qualifier codes reported market by market on trade and quote records in TRTH. These are the final links, at the time of writing.

Equity Codes (

Futures Codes (

You will need a Customer Zone account to download these files (see below for more on the Customer Zone).

  • the yellow box encloses announcements of recent software upgrades. TRTH is both the incredible underlying data set and the software designed to surface that data to users. Announcements in the yellow box report the latest software and data content improvements.

On the right hand side:

  • the green oval takes you to Thomson Reuters Customer Zone. You will need an account to use the Customer Zone. Use the online services to register – it is free to academic users of TRTH. The Customer Zone contains all current information for TRTH and other Thomson Reuters products. Use the Knowledge Centre FAQs link to search for help on problems already addressed by Thomson Reuters. Another useful link for researchers using Raw formatted data (see below for more on Raw formats) is the Data Field (FID) Lookup link. This maps FID numbers to names and back again, and describes the meaning of each FID.
  • the blue oval is another path to the Help services behind the black box.
  • the red oval surrounds a collection of useful PDFs you can download directly from TRTH’s home page. This collection is constantly being updated and improved and includes more files over time. Among files currently there you will find a Quick Start Guide that explains all the features of the TRTH interface; another on How to find data on Thomson Reuters Quickly and Easily, which contains a comprehensive description of RICs; a file on TRTH Data Coverage listing all the trading venues for each asset type and when data is available – for Equity Exchanges it also reports which exchanges provide buyer and seller IDs; a Data Message guide which describes all the available variables for each message type – go here when you want to know what a column heading means on your data output; a file describing how Cancellations and Corrections are handled in TRTH; and finally another file. Raw Format User Guide explains how to interpret the fundamental data underlying TRTH – TRTH transforms raw data into a more user friendly structure but this fundamental data, delivered by each source, remains accessible too, for those who wish to use it.
Of course, Dinkum Data pages are another source of information and so is direct contact. Please write to us directly at SIRCA if you have questions or comments about TRTH.

What is TRTH?

Thomson Reuters Tick History (TRTH) is a unique data base of tick level price and other information spanning the world’s markets. It dates from January 1996 and is updated four times each day, as the world’s new data unfolds. TRTH is a faithful record of information reported moment by moment on Thomson Reuter’s world-wide real-time Integrated Data Network (IDN). It captures and reports the world’s financial activity, in miniscule time intervals, as it was when it reached Thomson Reuters’ network hubs in London and New York.

All of the world’s major asset classes and markets are covered. Data on all traded equity instruments is available from over 250 regular stock exchanges around the planet. Many over-the-counter markets are covered too. Price, quote and other data is stored for the world’s markets in Futures, Options, Commodities & Energy, Foreign Exchange, Money, Fixed Income. Also available are global data on Indices, Funds and Economic Indicators. TRTH comprises more than 35 million different instruments.

Information can be delivered direct from TRTH as tick data, which displays all trades and every movement in the best bid and ask quotes, every moment through each day; or it can be aggregated by TRTH through the day into seven intervals ranging from 1 second to 1 hour; or it can be delivered as end-of-day data. Bid and ask limit order books, or the market depth of each order book, is also available for many exchanges. TRTH permits users to easily select the most appropriate data type and frequency for their research.

TRTH is an unrivalled resource for academic researchers; in terms of transaction frequency (records have been timed at thousandths of a second and will soon be at millionths of a second), in terms of global coverage of any asset class, in terms of asset classes covered, and in terms of functionality. The sheer spread and volume of data available make TRTH unique. But TRTH also possesses other exceptional qualities. Among these is the powerful, unique and proprietary identification system called Reuters Instrument Codes (RICs). Thomson Reuters’ RIC technology is applied in every market and across every asset class, giving researchers an unparalleled ability to precisely filter and identify instruments, both across markets and through time.

Commercial users also have access to TRTH via Application Programming Interfaces (APIs), allowing them to craft, parameterise and test algorithmic trading routines in real-life trading scenarios.

TRTH is the definitive record of detailed global financial market activity and is presented in ways tailored to meet the expanding needs of its users.

What is a RIC Chain?

A RIC chain is a powerful method to identify a portfolio of RICs using only a single label. Suppose, for example, you are interested in values of a particular market index, like the S&P ASX 200. The RIC for this index is “.AXJO” (notice the leading decimal point). When you add .AXJO to a New Request screen in TRTH you can obtain various statistics about the performance of that index through time.

Suppose though, your interest includes the composition of that index and you wish to know which companies have been used to form it. This is a task for a RIC chain and the particular RIC chain you need is 0#.AXJO. The addition of “0#” to the start of the RIC “.AXJO” is all that has changed. “0#” is the signal that a RIC chain is submitted. With one exception (see below), “0#” is always the signal for a RIC chain.

When you add 0#.AXJO to a New Request screen, TRTH will interpret that request according to your preference settings. When these are set correctly, the RIC chain will be expanded into its components and your New Request screen will contain a list of 201 RICs. The first of these will be the index, ”.AXJO”. The other 200 RICs will be the 200 companies used to generate the index results.

RIC chains can be used for many, many different tasks. In fact, much of TRTH is accessible via chains. For instance, the Speedguide also displays results in RIC chains. When you click on a RIC chain in a Speedguide page it automatically expands into its constituents. One useful example is 0#.INDEX, which displays RICs for the world’s major indices and can be added directly into a New Request screen. 0#.INDEXTOP is another example. It focuses on just the top world indices. Other examples are: 0#REUTERS, which displays all markets in chain format, 0#ENERGY, and 0#COMMOD, which lead on to further information about the world’s energy and commodity markets.

Another common application for RIC chains is to identify all derivatives on a particular instrument. Finding all options on an equity RIC is a good example. Suppose you wanted to find the 200 constituents of the S&P ASX 200 because you were interested in options trading on those stocks. Scores of options could be trading for each constituent company. The entry What is a RIC? describes how to construct RICs for options on equity instruments. Implementing those rules is a considerable task for all options of a single stock. It is even more challenging for many stocks. A far simpler method is to use a RIC chain. The RIC chain identifying all options on a single stock is like this “0#BHP*.AX”. In this example “BHP.AX” is the RIC code of the company and “0#” is the prefix signalling RIC chain. The new character, “*”, inserted after the root code, “BHP” and before the exchange identifier, “.AX”, is the options chain character. When “0#BHP*.AX” is added to a New Request screen all options traded on BHP.AX, both puts and calls, will be displayed. There are often more than 800 options for BHP.AX so you can see a RIC chain is a very efficient method to find these.

If you add “++” to the end of an option RIC chain, you can even restrict the results to at-the-money options, which lie within three strike prices above or below a prevailing spot price. “0#BHP*.AX++” is that RIC chain for our BHP.AX example.

A different example of a RIC chain is when the entire collection of futures contracts is required. Like the previous options example, a special character is added to a RIC root, which is preceded by the RIC chain symbols, “0#”. The special character for a futures RIC chain is a “:”. “0#YAP:” is an example of its use. In this case it delivers all futures contracts on the S&P ASX 200 contract, which has a root code of YAP on the Sydney Futures Exchange. The “:” futures chain character follows the RIC root code.

Like at-the-money options, there are also special RIC chains for futures contracts. Often of particular interest are details for futures contracts that are closest to expiry. The identity of such contracts will change, as time proceeds and the closest expires, leaving another contract as the closest remaining. Identification of such series is a task for a RIC chain. The special symbol now is a “c1”. The “1” (one) here indicates the first contract to expire. A “2” (two) would locate a series of second contracts to expire. Similarly for a “3”. The complete YAP example for a first level continuation RIC is “0#YAPc1”. (Note the case of letters is important and must be entered precisely with the “c” being in lower case and everything-else in upper case).

More information and examples of RIC chains can be found at these other Dinkum Data entries: for futures see Tick History / Futures / Instrument Codes, and for options on futures go here, Tick History / Options on Futures / Instrument Codes.

Another useful resource for RIC chain examples is the Search screen of TRTH. You normally use the Search screen when you want to identify instruments by name or exchange, rather than RIC. However, the Search screen is also helpful for RIC chain construction because it gives examples of RIC chains for each Asset Class. The screen shot below shows the Search screen for the Commodities & Energy Asset Class. At the bottom of that screen is an example chain “0#LPG-“ which applies to this asset class. Screens for other Asset Classes are similarly helpful. For instance, on the Economic Indicators Search screen you will see 0#ECONUS as an example. This provides a selection of US economic indicators. Other examples are 0#ECONALLUS for all US economic indicators, 0#ECON for all indicators across countries and 0#ECONCPI for CPI measures across countries.

Two matters remain to be clarified. The first is the single exception to “0#” as the chain prefix. This is “Z#”. Use “Z#” when you require information on US options reported through the Options Price Reporting Authority (OPRA). For example, “Z#IBM*.U” will deliver all IBM options available through OPRA.

The final matter concerns your TRTH preference settings. RIC chains are expanded according to selections made under the category of Expand Chain RIC on the Preferences page of Settings. If you select At start date then the RIC chain is expanded into its components at the beginning of your sample period. (Your sample period is defined in the bottom left had corner of a New Request screen). This is appropriate when you define your sample at the start of your observation interval. For example, which companies are constituents of the S&P ASX 200 at the beginning of your sample? You should receive 200 different company RICs. If you choose At end date then RIC expansion occurs on the last date of the your sample period. This finds companies that are S&P ASX 200 constituents on the final day of your sample period. Again, you should receive 200 different company RICs (which also differ from the At start date sample, when these dates are distant from each other). Finally, if you choose Over date range then any RICs that are members of your chain between the start and end of your sample period will be identified. This would deliver all companies that had been S&P ASX 200 constituents at any time between your sample start and end dates. It should be a list of more than 200 different company RICs for every sample period long enough to span changes to the composition of the S&P ASX 200.

What is a RIC?

Reuters Instrument Codes (RICs) are proprietary identifiers for every security, instrument or service distributed across Thomson Reuters real-time network and therefore captured in Tick History.

RICs have well defined structures that differ according to the instrument they identify. A RIC for a common share has a different structure to that for an option, or warrant, which is different again from that for a bond issue, or a futures contract, or a foreign exchange transaction. Differences are due to the characteristics of the instruments concerned. Instruments like options, bonds and futures all have maturity dates, which must be included in their respective RICs in order to uniquely identify each security. Strike prices, coupon rates and contract term can be other relevant attributes. None of these are required for the RIC of a common share.

The simplest RICs are those for a common share traded on organised, regulated exchange. Their structure is generally:

“Exchange Ticker code” + “.” + “Exchange Identifier Code”

The period, “.”, in this RIC is a delimiter separating the Ticker and Exchange Identifier codes. Other delimiters are also used in RICs. Some of these are mentioned briefly below.

An example of a common share RIC is “BHP.AX”. “BHP” is the ticker code for the common shares of BHP Billiton Limited, listed on the Australian Securities Exchange (ASX). “.” is the delimiter for an equity instrument and “AX” is Thomson Reuters’ code for the ASX. Another example is “VOD.L”. This refers to Vodafone Group, whose ticker is “VOD”, listed on the London Stock Exchange, with exchange identifier “L”. A final example is “IBM.N” for International Business Machines Corporation, with ticker “IBM”, listed on the NYSE, whose exchange identifier is “N”. Once you know a company’s ticker code, or root code, you only need the exchange identifier to build the appropriate RIC for its common shares.

Exchange identifiers can all be found in TRTH’s Speedguide, on pages EXCHID02 through to EXCHID17. An index for each of these appears on page EXCHID01 (see our separate entry, Speedguide Explained, for more information on the Speedguide and how to use it). A recent snapshot of exchange identifiers on a particular date can be seen here Tick History – Exchange Identifiers

Consolidation RICs are one exception to the previous rule for equity RICs. Consolidation RICs identify trades and quotes, which are consolidated across several North American Exchanges to deliver the best quotes available. Consolidation RICs contain no equity delimiter or exchange identifier (e.g. “IBM” is the consolidation RIC for IBM) and will be described in a separate Dinkum Data entry.

RIC definitions for other instrument types are also described elsewhere in Dinkum Data. RICs for futures are explained here, Tick History / Futures / Instrument Codes, RICs for options on futures are here, Tick History / Options on Futures / Instrument Codes, and for foreign exchange transactions at Tick History / Foreign Exchange / Instrument Codes.

The Speedguide is another useful resource. Page RULES1 is an index of RIC definitions for futures (RULES2 and RULES5), options (RULES2 and RULES7), options on futures (RULES2 and RULES 5), continuation futures (RULES2 and RULES6), identifiers for exchanges trading futures and options (RULES 3 and RULES 4), plus more.

The previous references are recommended for detailed descriptions of RIC structures applicable to non-equity instruments. However, brief descriptions of several RIC structures follow to illustrate the variety of instruments they can represent. It is not an exhaustive list of those structures.

Options on Equity

Ticker Code + Expiration Month Code + Expiration Day + Expiration Year Code + Strike Price + “.” + Exchange Identifier Code


BHP3000A1.AX is a call option on BHP common shares expiring at the end of January 2011 with a strike price of 3000 cents, traded on the ASX. BHP3000M1.AX is the put option with the same expiry and strike price. VOD160N1.L is a put option on VOD common shares with a strike price of 160 pence, expiring in February 2011 and trading on the Euronext LIFFE exchange. VOD160F2.L is a call option on the same exchange with strike price of 160 pence expiring in June 2012. IBML311012500.U is a call option on IBM expiring in December 31 2010 with a strike price of 12500 cents and IBMX311012500.U is the corresponding put option. Prices for both IBM options are sourced from the Options Reporting Authority (OPRA).


Root Code + Delivery Month Code + Expiry Year Code


YAPF1 corresponds to a futures contract on the ASX/S&P 200 index that expires in January 2011. YAP” is the root code, “F” the delivery month code and “1” the delivery year code. Similarly, SPH1 is a futures contract on the S&P 500 index expiring in March 2011 (“SP” + “H” + “1”); CIFG1 is a futures on the Chinese CSI 300 expiring in February 2011 (“CIF” + “G” + “1”); and FTSEBF1 is a futures on the FTSE/ATHEX-CSE Greek Banking index with January 2011 expiry (FTSEB” + “F” + “1”)

Options on Futures

Root Code + Strike Price + Expiry Month Code + Delivery Year Code


GC190H1 is a call option with a strike price of $US190 expiring in July on a futures contract for 100 troy oz of gold that matures in August 2011 (“GC” + “190” + “H” + “1”). GCQ1 is the RIC for that underlying gold futures (“GC” + “Q” + “1” using the previous definition for RIC futures). Similarly, GC350X6 is a put option with strike price $US350, expiring in November on a futures contract for 100 troy oz of gold that matures in December 2016 (“GC” + “ 350” + “X” + “6”). The underlying gold futures RIC is GCZ6.

Foreign Exchange

Spot rates: ISO Country Code + “=”


EUR= or AUD= the default base currency is usually USD and these RICs refer to exchange rates for Euros per US dollar and Australian dollars per US dollar.

Cross rates: ISO Country Code base currency + ISO Country Code + “=”


EURAUD= gives the number of AUD per one EUR; GBPCHF= provides the number of Swiss francs per one pound stirling.

Forward rates: ISO Country Code + Delivery Period Code + “=”


GBP2M= is a contract to exchange GBP for USD in 2 months.

As you can see from the previous examples, RICs are enormously versatile, so much so in fact that they accommodate all the instruments available in TRTH. They can become quite complex and although it is possible to construct RICs for yourself once you understand their structure, it is often much easier to use another feature of RICs called a chain. Entire families of RICs can be easily identified and filtered via RIC chains, which are extremely powerful and will be the subject of their own Dinkum Data entry.

Tick History – Exchange Identifiers

This is going to be a rather ugly looking post I’m afraid, but we quite often get asked about whether a table exists which maps Thomson Reuters Tick History Exchange Mnemonics (eg. NSQ for Nasdaq consolidated) to the Exchange Identifier suffixes to RICS (eg. .O as is MSFT.O for Microsoft listed on Nasdaq consolidated). As a result we thought we would post the table. This is also available by tapping in EXCHID01 into the Tick History SpeedGuide. Here we go:

Exchange IDMnemonicExchange NameCountry/Region
.AAOENyse Amex (Options)United States
.AASENyse Amex (Equities)United States
.ADABDAbu Dhabi Securities Exch United Arab Emirates
.ALPALPAlpha Trading Systems (Toronto)Canada
.ALVALVAlpha Trading Systems (Ventures)Canada
.AMAMMAmman SEJordan
.ASAMS/AEXEuronext Amsterdam Netherlands
.ATATH/ADEAthens SE/Derivative SE Greece
.AXASXAustralian SE Australia
.bBFXBrussels Deriv Exchange Belgium
.BBOSBoston SE United States
.BABUEBuenos Aires SE Argentina
.BBBLGBulgarian SE Bulgaria
.BCBARBarcelona SE Spain
=BCSBCSBelarus Currency and SE Belarus
.BDBURBurgundy MTF Nordic Region
.BEBERBerlin SE Germany
.BELBELBelgrade Stock Exchange Serbia
.BFCTLXBaltic Fund Market Estonia/Latvia/Lithuania
.BGCOLColombia Stock Exchange Colombia
.BHBAHBahrain SE Bahrain
.BIBILBilbao SE Spain
.BJBNLBanja Luka SE Bosnia and Herzegovina
.BKSETThailand SE Thailand
.BNBRNBerne SE Switzerland
.BOBSEBombay SE India
.BRBRUEuronext Brussels Belgium
.BRQBUHRASDAQ Listed/RSQ Traded Romania
.BSBTEBATS Europe United Kingdom
.BSXBSXBermuda Stock Exchange Bermuda
.BTBSMBotswana SE Botswana
.BUBUDBudapest SE Hungary
HPXHungarian Power Exchange Hungary
.BVBRABratislava SE Slovakia
.BXBUHBucharest SE Romania
.BYBDBBeirut SE Lebanon
.CCINCincinnati SE United States
.CLCCNational SE United States
.CACAIEgyptian SE Egypt
.CDCNQCNSX-Canadian National SE Canada
.CEBECElectronic Exchange Chile
.CHCISXChannel Islands SE United Kingdom
.CHIINSCHI-X Europe United Kingdom
.CHIpINSChix Mifid United Kingdom
.CIABJBRVM Ivory Coast
.CJ1CHTChittagong SE Bangladesh
.CLCALCalcutta SE India
.CMCSEColombo SE Sri Lanka
.CNCOLColombia SE Colombia
.COCPHCopenhagen SE Denmark
.CRCCSCaracas SE Venezuela
.CSCASCasablanca SE Morocco
.CTCT1Ceto OTC Regulated Market Poland
.CXCCXCCHI-X Canada Canada
.CYCYSCyprus SE Cyprus
.DDUSRWB Germany
.DEGERXetra Germany
.DHDSEDhaka Stock Exchange Bangladesh
.DIDIXNasdaq Dubai(ex-DIFX) UAE
.DLDESDelhi Stock Exchange India
=DMMTSMTSGermany Germany
=DNMTSMTSDenmark Denmark
=DPBARBarcelona SE Spain
.DUDBXDubai Financial Market UAE
.EEOE/AEXAEX-Options & Futures Netherlands
.EAEDXEuropean Derivative ExchangeUnited Kingdom
=ECMTEEuroCredit MTS Italy
.EDEQDEquiductUnited Kingdom
.ESFDISpainish Investment FundsSpain
=ESMTSMTSSpain Spain
.EWEWXEuwax Germany
.EXEUXEurex Deutschland Germany
.EXEUXEurex Switzerland Switzerland
.FFRAFrankfurt SE Germany
=FLMTSMTSFinland Finland
.FUFKAFukuoka SEJapan
.FXTFXThailand FuturesThailand
.GGBKGBank of GreeceGreece
.GHGSEGhana SEGhana
.GOPTXPure TradingCanada
.GQGYQBolsa de GuayaquilEcuador
.HHAMHamburg SEGermany
.HAHANHanover SEGermany
.HEHEXHelsinki SEFinland
.HFHFEHong Kong Futures ExchangeHong Kong
.HKHKGHong Kong SEHong Kong
.HMVSEHochiminh SEVietnam
.HNHASHanoi Stock ExchangeVietnam
.HNOUPCUnlisted Public Company MarketVietnam
.IISEIrish SEIreland
.ICICXIceland SEIceland
.IIISSIntl Sec Exch – EquitiesUnited States
.IpISEIrish MifidIreland
.ISIST/TDEIstanbul SETurkey
ISTIstanbul Gold ExchangeTurkey
TDETurkish Derivatives ExchangeTurkey
.IXHIXHInstinet HKHong Kong
.JJNB/SFXJohannesburg SE/SafexSouth Africa
.JKJKTIndonesia SE (formerly JSX)Indonesia
JFXJakarta Futures ExchangeIndonesia
.KNYQNYSE ConsolidatedUnited States
.KASQNYSE Amex ConsolidatedUnited States
.KAKARKarachi SEPakistan
.KFMDXBursa Msia Derivatives ExMalaysia
.KLKLSBursa Msia Securities ExMalaysia
.KSKSCKorea SE (Koscom)South Korea
.KWKUWKuwait SEKuwait
.KYKYOKyoto SEJapan
.KZKAZKazakhstan Stock ExchangeKazakhstan
.LLSELondon SEUnited Kingdom
.LLIFLIFFEUnited Kingdom
.LALATLatino American MarketSpain
.LGLAGNigeria Stock ExchangeNigeria
.LJLJULjubljana SESlovenia
.LNLNMLe Nouveau MarcheFrance
.LSLISEuronext LisbonPortugal
.LTLSELondon Latest Touch systemBritain
.LULUXLuxembourg SELuxembourg
.LUFRCTLuxembourg Domiciled FundsLuxembourg
.LZLUSLusaka Stock ExchangeZambia
.MMONMontreal ExchangeCanada
.MAMADMadrid SESpain
=MBBNCBank Negara MsiaMalaysia
.MCMCEMercado ContinuoSpain
=MCXMCXMICEX (Currency data)Russia
=MFMFIMadrid SE Fixed IncomeSpain
=MHMSTMTS PortugalPortugal
.MIMILMilan SEItaly
.MKEMKEMacedonia Stock ExchangeMacedonia
.MNMTVMontevideo Stock ExchangeUruguay
.MOMSEMoscow SERussia
.MOTMOTMontenegro SEMontenegro
.MTMLTMalta SEMalta
.MUMUNMunich SEGermany
.MVMLSMalawi SEMalawi
.MWMIDChicago SEUnited States
.MXMEXMexico SEMexico
.MZMAUMauritius SEMauritius
.MZAMENMendoza Stock ExchangeArgentina
.NNYSNew York SEUnited States
.NFFNFFNorwegian Fund Broker AsstnNorway
.NGNGONagoya SEJapan
.NGMNGMNordic Growth MarketSweden
.NHNSXNational SE for AustraliaAustralia
.NLBUHRomanian Equities TNLRomania
.NMNSENamibian SENamibia
.NPNWXNordpool Energy Exch OptionsNorway
.NRNAINairobi SEKenya
.NSNSINational SEIndia
.NZNZENew Zealand SENew Zealand
.ONSQNasdaq ConsolidatedUnited States
.OBOBBOTC Bulletin BoardUnited States
.OJOSAHercules NipponJapan
.OLOSLOslo SENorway
.OMMUSMuscat Sercuities MarketOman
.OQNSMNASDAQ Stock MarketUnited States
.OSOSAOsaka SEJapan
.PPAOPacific OptionsUnited States
.PPSENYSE ArcaUnited States
.PLCPPacific Exchange/ARCAUnited States
.PAPAREuronext ParisFrance
.PCSPCSaint-Petersburg CurrencyRussia
.PDEDPPrimary Dealers Bond MarketEgypt
=PEXPEXPortuguese Private ExchangePortugal
.PFTPFTPFTS Stock ExchangeUkraine
.PKPNKOther-OTC (Pinksheets)United States
.PLPLSPalestinian Securities ExchPalestinian Auth
.PRPRAPrague SECzech
PXEPower Exchange Central EuropeCzech
.PSPHSPhilippine SEPhilippines
.KPCQNYSE Arca ConsolidatedUnited States
.PZPLUPLUS Markets Group PlcUnited Kingdom
.QADSMQatar ExchangeQatar
=QIMTEMTS Quasi-Government MarketItaly
.QMFQMFQuote MTF LtdHungary
=RCBUEBuenos Aires ContArgentina
.RCTReuters Contributed Exchange CodeNA
.RFRFXRosario Futures ExchangeArgentina
.RIRIXRiga Stock ExchangeLatvia
=RNMTXMTS Reference PricingItaly
.RTSRTSRussian Trading SystemRussia
.SSWXSIX Swiss ExchangeSwitzerland
.SASAOSao Paulo SEBrazil
.SESAUSaudi SESaudi Arabia
.SFSFESydney Futures ExchAustralia/New Zealand
.SGSTUStuttgart SEGermany
.SHBKBQTBe QuotedSweden
.SJSJRSarajevo SEBosnia & Herzegovina
.SNSGOSantiago SEChile
.SPSAPSapporo SEJapan
.SSSHHShanghai SEChina
.STSTOStockholm Stock ExchangeSweden
.STSTOStockholm OptionsSweden
=SUSUBIndonesia SE (formerly SSX)Indonesia
.SZSHZShenzhen SEChina
.TTYOTokyo SEJapan
.TATLVTel Aviv SEIsrael
=TATLVTel Aviv SE (Bonds)Israel
.TETEJTaiwan Economic JournalTaiwan
.THTHMThird Market StockUnited States
.TLTLXTallinn SEEstonia
.TMTIMTaiwan Futures ExchangeTaiwan
.TNTUNTunis SETunisia
.TOTORToronto SECanada
.TWTAITaiwan SETaiwan
.TZDSSDar Es Salaam SE LtdTanzania
.UOPQOPRA NBBO OptionsUnited States
.UAXUAXUkrainian ExchangeUkraine
.UEUEXUruguyan Electronic ExchangeUruguay
.UPUKPXUK Power ExchangeUnited Kingdom
.VCVETSX VentureCanada
.VNEXTSX Venture-NEXCanada
.VAVLNValencia SESpain
.VIVIEVienna SEAustria
.VLVLXVilnus SELithuania
.VXVTXSwiss Blue Chip Segment, (formerly SWX)Switzerland
.WWCBChicago OptionsUnited States
.WAWSEWarsaw SEPoland
WPGICE Futures CanadaCanada
.XPHOPhiladelphia OptionsUnited States
.XRXIMXetra International MarketGermany
EEXEuropean Energy ExchangeGermany
.YISOInternational SecuritiesUnited States
.ZLCZBATS trading For Nasdaq (OMX Global Mkt)United States
.ZAZAGZagreb SECroatia
.ZIZSEZimbabwe Stock ExchangeZimbabwe

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… 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.

Tick History / Options on Futures / Instrument Codes

A couple of weeks ago we posted a beginners guide to building a Reuters Instrument Code pertaining to Futures contracts. We were prompted to do this due to the sheer number of requests for help which we get from academic members seeking a specific futures contract on the Thomson Reuters Tick History database. As confessed earlier there are some well known shortcomings in the way the database labels individual futures contracts, meaning that novice users often struggle with a string of shortened Futures contract names and acronyms. Well imagine how confused the novice user would get looking for Options on these Futures contracts. Here goes with another basic guide to building a Reuters Instrument Code this time for Options on Futures contracts.

The easiest way to assemble the set of options pertaining to a specific Futures contract is to use the Reuters “chain” command which assembles all subsets of a specific instrument (see the post below), along with a “+”. Here is an example for the Long Gilt Futures contracts listed on LIFFE.

This contract has the stem “FLG”, placing a “0#” before the stem indicates that you wish to “chain” this contract, and then adding a “+” after the stem indicates that you wish to retrieve all options pertaining to this contract. In otherwords enter “0#FLG+” into your Tick History request box.

Remember also that the timeframe you select is important here. Tick History will retrieve any valid option which exists over the time period which you specify, extreme caution therefore if you are searching over multiple months, you will be retrieving a heap of expired options over multiple strike prices, both puts and calls!

Coming back to our example for FLG, if you enter 0#FLG+, the system will helpfully list the relevent underlying Futures contract, and then all live Options on this specific contract for the period which you have specified. For a search covering the period 3Nov2010 to 10Nov2010, the first Futures contract is “FLGH1”, the March 2011 contract (see post below for details). There then follows several dozen individual option contracts representing all the available Option strike prices and expiries (both puts and calls) on this Futures contract. An example is “FLG12300A1”.

Each individual Option has a specific taxonomy, in this case “FLG” represents the stem of the underlying Futures contract, “12300” is the strike price, “A” is the expiry month and put/call identifier for the Option (ie. January Call), and “1” represents the year (ie. 2011). FLG12300A1 is therefore a Call Option on the Long Gilt March 2011 Futures contract, with a strike price of 123.00 and an expiry in January 2011.

The expiry month identifiers differ from the futures expiry month identifiers which you may have read about in the post below. Here is the list for Options contracts:

CALL Options:
January A
February B
March C
April D
May E
June F
July G
August H
September I
October J
November K
December L

PUT Options:
January M
February N
March O
April P
May Q
June R
July S
August T
September U
October V
November W
December X

Thomson Reuters Tick History data fields will help you with the long had of the expiry months and strike prices, along with an explicit put/call identifier, and a link to the underlying contract.

Again, caution about data overload with Options, it will may pay to narrow your search down to options on a specific Futures contract, eg. the March 2011 Long Gilt, rather than asking for options on all current Long Gilt Futures. In this case you would use 0#FLGH1+, instead of 0#FLG+.