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Futures Database Notes

Australian Securities Exchange (ex-SFE)

Share Price Index (SPI)
Volume and open interest figures for dates before 11th October, 1993 have been adjusted to bring them into line with current contract specifications (multiplied by 4). On that date, the value of a SPI tick was reduced from $100 to $25.

The ASX now offers virtual 24-hour trading for most of its contracts. The close of trading occurs in the late afternoon, after which settlement prices are issued. The next day's trading then begins with the "overnight" session. Therefore overnight trading should be regarded as the first leg of the "next" day rather than as a continuation of the "current" day. 

For the SPI 200 contract, DataTools reports 3 versions:

The contract named "SPI 200" which represents trading from 9.50 am to 4.30 pm.on the trade date.
The contract named "SPI 200 C" (all-sessions combined) which represents trading from 5.10 pm (the previous evening) to 4.30 pm. on the trade date.
The contract named "SPI 200 N" (night) which represents trading from 5.10 pm (the previous evening) to 7.00 am on the trade date. (8.00am during non-US daylight savings months).

If a SPI contract fails to trade in the night session, the price fields are filled with the previous days settlement price (in order to avoid reporting zeroes). This indicates that the price has not advanced overnight.

More about the SPI

The ASX's original Share Price Index contract was based on the "All Ordinaries Index". When Standard & Poor's took over the ASX's index business in April 2000, and announced changes to the index structure, the ASX selected the S&P/ASX 200 Index to be the basis for a new Share Price Index futures contract - the SPI 200 (DataTools code YAP).

The original SPI contract (DataTools code YAO) continued to trade side-by-side with the SPI 200, with the final contract listed for trading being the September 2001 delivery. But through December 2000, open interest shifted from the old market to the new, and the December 2000 delivery was the last "old contract" that saw any active trading. At the expiry of this delivery on 29/12/2000, both markets were settling at the same price.

This has enabled us to "seamlessly" construct a market folder for DataTools called "SPI Merged" (and other folders called "SPI Merged C" and "SPI Merged N").

The SPI Merged folders merge the history of the old SPI with the new. Contracts up to and including the December 2000 delivery represent the "old" SPI. Contracts beginning with the March 2001 delivery represent the "new" SPI. 

Merging these individual contract histories into single folders allows the construction of continuous SPI contracts going back to 1983.

The table below summarises the various SPI codes available through DataTools.
Market Name DataTools Symbol Description First All Ords SPI Delivery First SPI 200 Delivery
SPI 200 YAP "day" session n.a June 2000
SPI 200 C YAP2 all trading sessions combined n.a. June 2000
SPI 200 N YAP3 "overnight" session n.a. June 2000
SPI Merged SPIM "day" session March 1983 March 2001
SPI Merged C SPIM2 all trading sessions combined March 1983 March 2001
SPI Merged N SPIM3 "overnight" session March 1992 March 2001

CME Group

Corn, Wheat, Oats, Soybeans
Volume and open interest figures before Jan 1, 1998 have been adjusted to factor in the change of measurement at that time from bushels to contracts. A pre-1998 figure of 5 (representing 5,000 bushels) has been adjusted to 1 (representing 1 contract).

E-Mini Russell 2000
In 2008, the licence for futures contracts over the Russell Indices passed from the CME Group to ICE. ICE launched its own version of the Russell 2000 Mini in August 2007, but the established CME Group version continued to attract by far the greater share of the volume until the expiry of its final September 2008 contract.

In 2017, the CME reacquired the rights to provide futures contracts over the Russell Indices. The ICE Futures U.S. Russell 2000 Mini contract was delisted at the expiry of the June 2018 contract. Trading in the CME E-Mini Russell 2000 recommenced on the 10th of July 2017, however it was only around the expiry of the September 2017 contract that the volume shifted from the ICE to the CME.

Our history for the E-Mini Russell 2000 combines the CME Group and ICE versions as follows:
1) the old CME "E-Mini Russell 2000" (code=ER) contract up to the Sep 2008 delivery,
2) the ICE Futures U.S. "Russell 2000 Mini" (code=TF) contract from the Dec 2008 to Sep 2017 deliveries, and
3) the new CME "E-Mini Russell 2000" (code=RTY) contract starting from the Dec 2017 delivery.

Lean Hogs
The current Lean Hogs contract (beginning with the February 1997 delivery) replaced the existing Live Hogs contract (which ended with the December 1996 delivery). The old Live Hogs prices have been retained in the database, with their levels adjusted according to the formula provided by the CME Group.

Treasury Bond Complex (30 year T-Bond, 10-year Note, 5-year Note)
The CME Group Treasury Bond Complex (beginning with the March 2000 contract month) is based on a notional coupon rate of 6%. Previously it was 8%. To account for this change, we have adjusted our price histories for these markets so as to simulate a trading history based on a 6% coupon. In each case, the adjustments have been made using a constant adjustment factor for the entire pre-March 2000 history. These adjustment factors are based on information made available by the CME Group.

The adjustments provide approximate historical price levels for the U.S. Bond complex. Without the adjustments, it is not possible to compare current price levels to historical ones for the markets in question.

ICE Futures Canada

Beginning in 1997, the June delivery month was dropped from the Canola cycle and May and July deliveries were added.

ICE Futures Europe

Although EUA futures were launched in 2005 (in association with phase 1 of the emissions trading scheme) our data starts with the Dec 2008 contract (in association with phase 2).
Underlying phase 1 and 2 prices were vastly different.

Long Gilt
This contract is currently based on a notional 7% coupon. Prior to the March 1998 contract month, it was based on a 9% coupon. See the notes above for CME Group Treasury Bond Complex.

Robusta Coffee
The current Robusta Coffee (10 tonne) contract began trading on February 14 2008, with the November 08 delivery as the first listing. At the same time, the old 5 tonne version of the contract continued to trade until the expiry of the January 09 delivery. While the two versions traded side by side, the old version attracted the greater share of the volume and traded at a slight premium to the new. The new contract specifications allowed for a broader range of deliverable grades.

Our history for Robusta Coffee combines the old 5 tonne and new 10 tonne versions of the contract, with the data up to and including the January 09 delivery representing the old version.

ICE Futures U.S.

Russell 2000 Mini
See E-Mini Russell 2000 under CME Group above.

Kansas City Board of Trade

See Corn, Wheat, Oats, Soybeans under CME Group above.

London Bullion

The prices reported in the cash markets folder for London Bullion are the daily Silver Fix (in US cents per troy ounce) and the 3.00 p.m. Gold Fix (in US dollars and cents per troy ounce).

The Gold Fix is a ritual of the London financial district that dates back to 1919. Each day, 5 key market-making members of the London Bullion Market Association meet in the offices of N.M. Rothschild & Sons to buy and sell amounts of 400 troy ounce gold bars.

The fixing process is a type of auction. An initial price is suggested by the chairman. This price is then negotiated up or down towards a final "fixing", which is the price at which all the business of the 5 members and their various clients can be cleared.

The advantage of the fixing system is that a large amount of gold or silver can be traded at a single known price. The London fixes constitute a valuable reference point for the cash market as a whole, which trades almost uninterrupted around the clock and around the globe.

The 3.00 p.m Gold fix was introduced to supplement the a.m fix in 1968. The single daily Silver fixing takes place at midday.

London Metals Exchange

The metals prices reported in the cash markets folder are the prices posted by the LME at the end of the second morning "Ring" session. There are two morning Ring sessions, the first beginning at 11.40 and the second at 12.30, during which each metal trades in turn for five minutes. Only Ring Dealing Members are allowed to participate. The second morning session is the key event of the trading day, as it gives rise to the official cash and settlement prices, which set the tone for the market in each metal.