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Futures

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). By firstly gathering names, mnemonics and dates with a Static Request you can keep track. 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 'Futures'
  • Search for the futures by e.g. name and type
  • Copy the information in the column 'Class'. With this code you can make a list of all life or all dead futures:
    •  You can find live futures with the code LFUTXXXL
      • The first L is from List
      • FUT stands for futures
      • Instead of XXX you enter the class
      • The last L stands for live
      • For example: the code for all live AEX-index futures is LFUTETIL
    • You can find dead futures with the code LFUTXXD
      • The D stands for dead
      • For example: the code for all dead futures on silver is LFUTCZID
  • Go to the Datateam pc in the UL, open Excel and click on Datastream
  • 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
  • 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? Select as Type 'Commodity' and pay attention to selecting the right Exchange.

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. 

  Click on the logo for a demonstration how to gather the DS Mnemonics

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.
  • Click on Submit, and the downloading will start.

Save the file on an USB-stick.

 Click on the logo for a demonstration how to download the prices of the futures