Futures can be retrieved from Datastream. The number of futures differs widely: from a few till hundreds (especially with 'dead' futures). The difference has to do with the nature of the future (commodity, index and so forth). You can find the individual future contracts (for example AEX Index Mar 2013) and the codes of these contracts, in Datastream Navigator in the Data Category 'Futures', but gathering them in that way can be time consuming. By firstly gathering names, mnemonics and dates with a Static Request you can keep track of your request. After downloading the list of DS Mnemonics, you have to use a Time Series Request to actually get the historical data.
Step 1: Collecting DS Mnemonics through a Static Request
- Go to Datastream Navigator
- Select as Data Category 'Constituents Lists'
- Optional: select 'Advanced Search', that can make the searching easier
- Search for the future you're looking for, for example by name
- Write down the DS Mnemonic(s) of the list of futures, for example LFUTETIL for the 'living' futures on the AEX-index
- Go to the Datateam pc in the UL
- Open Excel and click on Datastream tab
- Select Static Request
- Behind 'Series/List' you have to enter the code of your list. You can request only one list at the same time (more will give the errormessage: 'Error: LIST AND CODE INPUT INVALID'
- Continue to gather relevant, static information like: name, mnemonic (this identifier is needed to get future prices), settlement date, last traded date and start date. You must add the next Datatypes behind Datatypes/Expressions: name, mnem, stdt, ltdt, futbdate, fui
- Finally click on Submit
The result will be a list of names, Mnemonics and dates.
TIP: The mnemonic of the underlying instrument can be found with the static datatype FUI.
TIP: Are you searching for commodity futures? Then use the Data Category 'Futures' instead of 'Constituents Lists' - in this category you can select Commodity behind types, and thus limit the results. You can create the Mnemonic of the futures yourself: the format is LFUTXXXL, instead of XXX you have to enter the class of the future. The Mneomonic of the dead futures is LFUTXXXD.
TIP: Information about the contracts can be found on the website of the exchange. Click here to see an example: information about the futures of Ahold.
Step 2: Getting the data with the Time Series Request
Next how to download the Data:
- Copy the column of Mnemonics from your Excel sheet to a new sheet
- Open Datastream and select Time Series Request
- Select next to the button Series/Lists the Mnemonics from the Excel sheet
- Enter some codes for Datatypes/Expressions (PS (Settlement Price) is the default code for futures)
- Enter a start- and end date (Please remember the dates you have collected with the Static Request)
- Choose a frequency (most likely Daily)
- Select Option Display Row titles, Display Column titles, Display Headings and Display Currency and unmark Embed!
- Click on Submit, and the downloading will start.
Save the file on an USB-stick.