Short term futures contracts in Datastream

This year I already published an item on Futures in Datastream and the AEX index Continuous Futures composition. Recently a customer asked me about several short term contracts series for WTI crude oil noted at the NYMEX (New York Mercantile Exchange). WTI is the abbreviation for West Texas Intermediate or Texas Light and it is used as a benchmark in oil pricing. I did some searches in the Data Category Futures in Datastream and could find many series (over 200):

From that list it was not clear to me how I could identify short term contracts that the customer was interested in: 1 Month, 2 Month, 3 Month etc. At the top of the list several Continuous series were shown and I assumed that I might use these to do static searches to download the composition of this aggregated series to get the underlying contracts (including the dead and life short term contracts). Using the method that I told about earlier I tried to do this but this did not work. I got NA (not Avaliable) each time. I also could not immediately find the solution on the Datastream Extranet knowledge website.

In the end I contacted the Thomson Reuters helpdesk. The helpdesk finally helped me identify the short term WTI Futures contracts. I also found out (later) that had also been included in the list I initially found with my first search. Examples of he short term contract codes are:
NCLC.01 = 1 Month
NCLC.02 = 2 Month
NCLC.03 = 3 Month
NCLC.06 = 6 Month
NCLC.12 = 12 Month

Using these codes I could download the prices and volumes traded with the data types PS#S and VM#S, where:

  • PS#S gives the Price without padding for non-trading days
  • VM#S gives traded volume without padding for non-trading day.

Here you see an example search:


European registers on short selling

Short selling is the selling of a stock that the seller doesn’t own. Even more specific: a short sale is the sale of a security that is not owned by the seller, but that is promised to be delivered. When you short sell a stock, a broker will lend it to you. The stock will come from the brokerage’s own inventory, from another one of the firm’s customers, or from another brokerage firm. The shares are sold and the proceeds are credited to your account. Sooner or later, you must “close” the short by buying back the same number of shares (called covering) and returning them to your broker. If the price drops, you can buy back the stock at the lower price and make a profit on the difference. If the price of the stock rises, you have to buy it back at the higher price, and you lose money. More information on the subject is available (written) by Brigitte Yuille at Investopedia.

On 1 November the new Regulation of the European Parliament and of the Council on short selling (and certain aspects of credit default swaps) became applicable in EU countries (Regulation documents). Many EU countries have now initiated registers where notifications are publicized on short sells. The website of the ESMA offers background information on the Regulation as well as a few links to files with inernet adresses for the registers. Many of these registers are easy to use and offer the notifications in an easy to use way (Excel or text downloads).

The short sell notifications usually comprise the following data: Position holder, Name of the issuer, ISIN, Net short position in % (2 decimal), Position date (yyyy-mm-dd). Sometimes the “Date on which the position was changed or ceased to be held” is also included. In the Netherlands the Notifications are collected and published in a separate Short Selling register (see below).

NB: Not all short sells are included in the registers: only when “A natural or legal person holding a net short position in the issued capital of a company whose shares are admitted to trading on a trading platform shall issue notification on each occasion that the position reaches the threshold of 0.5% of the issued capital of the company concerned and on each occasion that it reaches 0.1% above this level.”


Datastream & training materials

Thomson Reuters has recently launched new training materials that are available through their Knowledge Network. People who have never before worked with Datastream can learn the basics and get a good start. It contains training movies as well as other stuff. TheĀ  information is available for customers and may require registration. Much more is also available through the Datastream Extranet website. You can find the Extranet website through the Datastream ribbon/add-on in Excel (see below).

The Extranet requires a login and password that may be provided by your organisation (if it has a license to Datastream).

On this blog and my previous blog I also put up much information and many tips & tricks.


Specific CBS websites

The Dutch national statistics bureau CBS (Centraal Bureau voor de statistiek) has a general website through which current statistics are made available. In addition two specific websites are available with historical time series data:

1) Dutch census website
The 1795-1971 Dutch Censuses website enables you to view or download most of the Dutch census tables, published in the period 1795-1971. Besides, most of the instructions and attachments (see documentation) are online available. The original records were scanned and digitized and are now available as images as well as MS Excel tables. Many of the original census documents are available in Adobe PDF format.

2) Historical publications website
The CBS bureau is currently digitizing its older historical publications. These are made available through a specific historical” website. Through the website more statistics publications from the 19th and 20th century will become available. Currently the digitized publications include the Statistics yearbook of the Netherlands from 1969-2006 and several older statistics publication series on trade.