Futures Database Notes
Australian Securities Exchange (ex-SFE)
Share Price Index (SPI)
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.
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.
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.
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).
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.
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
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.
|First All Ords SPI
|First SPI 200 Delivery
|SPI 200 C
|all trading sessions combined
|SPI 200 N
|SPI Merged C
|all trading sessions combined
|SPI Merged N
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.
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.
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.
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.
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.