At last …. API access to Tick History for academic users!

By far the most common way currently for the academic community to access data from Thomson Reuters Tick History is via a web browser.

This requires a person to interact with a computer to set query parameters on a web page, execute a query and then download the results. Results can then be loaded into a software package for analysis and further processing. We see a wide range of packages such as Excel, SAS, Matlab, and R being used for this.

In order to make the process less labour intensive and more reliable, some users write software to automate the process. In order to do this, they need to be able to write code that accesses Tick History via a different interface called an Application Programming Interface (API). This allows a software developer to create tools to automatically download Tick History data and process it. As this is being done by software, it can be scheduled to run automatically. API access to Tick History has been available to commercial customers of Thomson Reuters Tick History for some time.
The good news is that Sirca has recently invested in new server infrastructure in order to allow access to the Tick History API for our Academic members. We should add that Sirca has also recently undertaken a substantial code optimisation effort. This has resulted in considerably faster execution of API queries – up to 40% faster than previously and 30% faster on average.

A note of caution for academic users however, a reasonable degree of programming ability is required to use the Tick History API. As this is a web service, a wide range of programming languages can be used.
Please get in touch with us if you need access to the Tick History API user documentation, or if you would like to talk about this in more detail. We will be progressively enabling API access to all of Sirca’s datasets over the next few months, we will keep you posted.

Short Sales / Short Selling

Short sales of equity is an area of increasing interest to academic researchers and we frequently receive requests for help with such data. End of day summary information on short sales data is available for several exchanges.Examples include,Australia(.AX), Hong Kong (.HK),Korea(.KQ),Taiwan(.TW),Thailand(.BK),India(.BO and .NS) andPoland(.WA).The access procedure is similar for each exchange but differs sometimes in the detail.In each case you need to use a RIC indicating you want short sale information.For .AX, .HK, .KQ and .TW that RIC contains a “stat” string.For example, BHPstat.AX specifies the end of day short sale summary for BHP.AX, 0001stat.HK identifies short sale data for 0001.HK and 000250stat.KQ corresponds to short sale data for 000250.KQ.The extra RIC string is slightly different for the other exchanges.It is “ss” for .BK, .BO and .NS and “s” for .WA.For example, ADVAss.BK, or AAAIss.NS, or ACPPs.WA. Notice these short sales RICs all contain a mixture of upper and lower case letters.Case is relevant for these RICs and must be entered correctly. Once the appropriate short sales RICs are correctly specified, you next need to select the correct data fields.These are the End of Day Message Type found under the Fields tab.Select them all and Preview a small data sample to see what is available.The range of populated fields varies from exchange to exchange but Volume is available from every exchange.Last is provided by .HK and .KQ. Short sales summary data is available too under the Time & Sales Message Type.If you choose this source then you will receive summary data as it was delivered to Thomson Reuters IDN service.That can be more than once per day.For instance, .HK has a morning and afternoon summary signal.Both are visible here.In order to see these you need to select a different range of fields.Time & Sales data has its own Short Sales category under the Transactions heading.Choose these to view the Time & Sales sourced “stat” data.A word of warning is warranted here though.The Time & Sales sourced data shows exactly when that data was received by Thomson Reuters.This could be a day after the interval it represents.For instance, if you compare Time & Sales Short Sales values with those obtained through the End of Day Message Type for BHPstat.AX you will see the Time & Sales data lags the End of Day data by one day.The End of Day data date has been reset to the interval to which it corresponds whereas the Time & Sales date shows when the summary was received.Naturally, that is after the interval ends. Information on individual short sales is also available, sometimes.The “stat”, “ss” and “s” RICs identify end-of-interval summary data but information for individual short sales can be found too, when it is reported.This last qualification is important because it seems many short sales are not reported on some exchanges.Nevertheless, when they are, they can be found by requesting data as normal, for example, BHP.AX, rather than BHPstat.AX, and by making use of the Qualifiers field under Trade Transactions.In the case of ASX listed equity, Qualifier fields containing SH[GV4_TEXT] indicate short sale trades.Qualifier codes for short sales could differ at other exchanges (see Where to get help for TRTH? for a link to more help on qualifier codes). SIRCA members have one final source for end of day net short sales summary data. That source is SIRCA’s Data Consult team.SIRCA members can submit a Data Consult request (see Sirca DataConsults for more details) to obtain the same End of Day summary data as described above for .AX, but over a longer interval.The oldest such data you source from TRTH begins with 11 June 2008.The Data Consult Team can source the same ASX data as far back as late 2001. SpeedGuide (see Speedguide Explained for help of using Speedguide) is another useful source for short sales information, either to discover instruments eligible for short selling, or to identify those that are restricted from short selling.The Speedguide page WORLD/NOSHORT01 gives RIC Chains (see What is a RIC Chain? for more on these) for various countries identifying short selling restrictions.WORLD/NOSHORT02 continues that listing and also provides RIC Chains for equity and bond securities inPoland that can be short sold.The Speedguide page ASIA-SHORTSELL gives RIC chains forIndia andThailand covering both stocks that are restricted and not restricted from short selling.Other Speedguide pages, like JK/FAQ, show stocks that are eligible for short selling.In the case of JK/FAQ, eligible stocks in Jakata are shown.

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


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.


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.

Speedguide Explained

The Speedguide is an archive of quick reference information as it was available to customers of Thomson Reuters real-time trading network. As such it is an invaluable guide for navigating through the complexity of the world’s financial markets. You just need to recognise a few qualities to make the most of Speedguide.

Firstly, the Speedguide is an archive of a real-time service catering to the needs of evolving markets. This means the Speedguide also evolves and changes from day to day. The date of the Speedguide is therefore an important input to consider before submitting a Speedguide request because the answers you receive will be specific to the date setting and can change from one date to another. By default the date is set to the latest available. But this may not be appropriate if you are interested in RIC codes from ten years ago. In that case, you will need to use the Speedguide from ten years ago.

The following picture displays the Speedguide tab (marked in red on the Tick History screen), the Speedguide pop-up that results from left-clicking on the Speedguide tab (also circled in red) and Speedguide input fields (all shown in green boxes).



The third green box shows the Speedguide date field. In this example it is set to “Mon-01-11-2010”. That field can be changed to anything back to “Mon-08-Jan-1996”, when the Speedguide begins.

The fourth green box lets you define time during any of these dates for a required Speedguide.

The second green box contains “THOMSONREUTERS” in the accompanying sample. This is the Speedguide’s home page. Any item marked in blue on a Speedguide page is hypertext to another Speedguide page of that name. For instance, left-clicking on “” will take you to the “EQUITY” page. Notice after clicking EQUITY the name in the green box changes to EQUITY. Notice too that entries at the bottom of each Speedguide page show the previous and next Speedguide page names in any sequence, or useful next locations.



You can type other entries into the page name box and be taken directly to the Speedguide page with that name. For example, you could type “REUTERS” in that box and be taken to the REUTERS Speedguide page. REUTERS is the Speedguide home page before 15-Apr-2008, so it is useful to know for older searches. Another example is the Speedguide page “0#.INDEX” (that’s a zero hash dot upper case i-n-d-e-x). Typing that and left clicking on the Go button takes you to a page displaying RICs for the world’s major indices on the selected Speedguide date. After you begin using the Speedguide you will notice that many pages keep their names across different days. That consistency is useful because you go navigate straight to those pages by entering their name on the chosen date. Of course, when you are unsure of a page name you can always navigate down from the home page (REUTERS or THOMSONREUTERS). Other useful page names are: “G20/EQUITY” for a more direct entry into G20 equity markets where you will quickly see more Speedguide structure; “RULES1” which commences the definition of RIC structures; “EXCHANGES” which presents information about different exchanges; and “EXCHID01” which is a mapping between RIC exchange suffixes and exchange names.

The final Speedguide input cell was the first enclosed by a green box above. In all the previous examples this was shown as “Page”. But it can be set to “Search” by clicking on the small orange down arrow. The “Search” option allows you to search the latest Speedguide for text typed into the page entry cell. Take note the search is only conducted across the most recent Speedguide. The date field does not function in “Search” mode. Nevertheless, you will find the Search facility to be enormously useful because it can quickly reveal the most useful Speedguide pages for your particular task. For example, suppose you want information on credit default swaps, or CDSs. You can Search for “default” or “CDS”. Among the many matches you will quickly locate pages of interest that can then be used as a basis for navigation through older Speedguides, after resetting back to the “Page” option.

An important feature to be clear about is that the Speedguide date is not related to the date used to define your sample in Tick History. The two date fields serve different roles.

One final feature to know is that you can open multiple Speedguide pages by holding down Alt-N or by choosing File -> New Window. Only one Speedguide page at a time will accept requests but all will remain visible. This can be very useful for keeping one Speedguide page open when you wish to temporarily navigate away from it.