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:

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