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Commodities and Futures Historical Data
173 futures, 68 cash, 66 index and 16 forex markets.
Continuous Contracts ... Three different types of continuous contracts are available. These contracts have 20 + years of history or data since the contract's inception. Each set is a particular type of continuous contract and contains 75+ different symbols. The continuous contracts will be located under the "ASCII" data base in their own sub-folders.
Continuous Contracts ...
The three different continuous contracts are; Nearest Future, Most Active Backward Adjusted and Most Active Non-adjusted.
"The Nearest Future " is a data series that rolls over to the next nearest delivery contract on the day after the last trading day. The name includes delivery month and delivery year. In a regular contract such as December 2002 Wheat the name will be displayed as " Wheat 0212. The Nearest Future for Wheat will display as 11B A 2H. The "11B" indicates nearest future. "A" and the following "2H" denote which contract is active since the last roll over. The "2H" is for March 2002. If you are not sure of the delivery month symbols please refer to the end of this document.
"The Most Active Backward Adjusted " is a data series that rolls over to the delivery
contract with the highest "Open Interest". All the data prior to the most recent roll over is adjusted either up or down depending on whether the most active contract is trading at a premium or discount to the previous contract. This method of adjusting eliminates price gaps that may occur between contracts. The backward adjusted data may at times go to negative values. Currently the Most Active Backward Adjusted Wheat contract will be named and displayed as "Wheat 21C A 2H". The "21C" indicates most active backward adjusted. The "A" and the following "2H" denote the active delivery contract since the most recent roll over.
"The Most Active Non-adjusted" is a data series similar to the Most Active Back Adjusted. The roll over is at the same time and also based on the most active "Open Interest". Data prior to the most recent roll over is not adjusted and therefore all the data back to the first record in the time series represents real values. Currently the Most Active Non-adjusted Wheat contract will be named and displayed as "Wheat 20C A 2H". The "20C" indicates most active non-adjusted. The "A" and the following "2H" denote the active delivery contract since the most recent roll over.
173 futures, 68 cash, 66 index and 16 forex markets. There are a total of 323 separate items in these four categories with 258 different symbols. A symbol may have items in two categories. It may have futures files as well as a cash or an index file. Two files in your root directory contain the symbols. Items that have multiple trading sessions such as financial instruments have separate symbols (e.g. US = day session and USC = combined session for T-Bonds). Combined includes the price range of all sessions for the trading day. Financial items on the Chicago Board of Trade also have electronic trading sessions. The symbols for these sessions end with an "e" (e.g. USE = electronic session for T-Bonds).
The ASCII database has a particular structure. Each symbol is a sub-folder under the main data base folder. Each sub-folder contains all the files with that same symbol. All the Swiss Franc files with "SF" as a symbol are in the "SF" folder, futures and cash.
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FA2000 SYMBOL
LIST FUTURES MARKETS AVAILABLE
Unlink
Exchange Description
Symbol
AB WCE BARLEY, WESTERN
ABL SYDFE AUSTRALIAN, BOND, 10 YEAR
ABM SYDFE AUSTRALIAN, BOND, 3 YEAR
ABS SYDFE AUSTRALIAN, 90 DAY T.BILLS
AD CME AUSTRALIAN DOLLAR
ADC CME AUS.DOLLAR, COMBINED * * *
AG CBOT SILVER, 1000 OZ.
AOR SYDFE ALL ORDINARIES
BAX ME CANADA BANK 3 MONTHS
BF LCE BALTIC OEAN FREIGHT
BO CBOT SOYBEAN OIL
BOC CBOT SOYBEAN OIL, COMBINED
BOBL EUREX GERMAN BOND, 5 YEAR ( Bobl )
BP CME BRITISH POUND
BPC CME BRITISH POUND, COMBINED
BRZ CME BRAZILIAN REAL
BUND EUREX GERMAN BOND, 10 YEAR ( Bund )
BUXL EUEX GERMAN BOND, LONG ( Buxl )
C CBOT CORN
COC CBOT CORN, COMBINED
CAC MATIF CAC 40
CB IPE CRUDE OIL, BRENT
CC CSC COCOA
CD CME CANADIAN DOLLAR
CDC CME CANADIAN DOLLAR, COMBINED
CGB ME CANADIAN T-BOND, 10 YEAR
CGF ME CANADIAN T-BOND, 5 YEAR
CL NYMEX CRUDE OIL (LIGHT)
CN
NYMEX ELECTRICITY, EAST - CENTRAL
COE NYMEX ELECTRICITY, CALIFORNIA - OREGON BORDER
CR NYFE CRB INDEX (LARGE)
CT NYCE COTTON #2
DAX EUREX DAX
DJ30 CBOT DOW JONES 30
DJIC CBOT DOW JONES 30, COMBINED
DJIE CBOT DOW JONES 30, ELECTRONIC SESSION
DM CME DEUTSCHE MARK
DMC CME DEUTSCHE MARK, COMBINED
DW
MGE WHEAT, DURUM
DX CEC US DOLLAR INDEX
DXC CEC US DOLLAR INDEX, COMBINED
EBOR MATIF EURIBOR, 3 MONTHS
EBRM EUREX EURO INTER-BANK, 1 MONTH
EBRQ EUREX EURO INTER-BANK, 3 MONTH
ED CME EURODOLLAR
EDC CME EURODOLLAR, COMBINED
EE SIMEX EUROYEN
EM
CME LIBOR 1 MO
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FA SYMBOL
LIST FUTURES MARKETS AVAILABLE
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Exchange Description
Symbol
EMC CME LIBOR 1 MO COMBINED
EN NYMEX ELECTRICITY, SOUTH - CENTRAL
ENLB MATIF EURO NOTIONAL BOND, 10 YEAR
ER COMEX EURO TOP, 100
ES LIFFE EURO SWISS, 3 MONTH
ESS LIFFE EURO SWISS, 3 MONTH APT
ESP CME MINI S&P 500 STOCK INDEX
EU
CME EURO CURRENCY
EUC CME EURO CURRENCY, COMBINED
EYA CME EUROYEN, 3-MONTH
EYQ TIFFE EUROYEN, 3 MONTH
FC CME FEEDER CATTLE
FF CBOT FED FUNDS - 30 DAY
FR CME FRENCH FRANC
FT LIFFE LONDON FT-SE 100
FTS LIFFE LONDON FT-SE 100, APT
FTSE LIFFE LONDON FT-SE 250
FV CBOT T-NOTES, 5-YEAR
FVC CBOT T-NOTES, 5-YR. COMBINED
FVE CBOT T-NOTES, 5-TR. ELECTRONIC SESSION
FY CEC T-NOTES, 5 YEAR
GC COMEX GOLD
GI CME GOLDMAN SACHS INDEX
HG COMEX COPPER, HIGH GRADE
HKHS HKFE HANG SENG INDEX
HO NYMEX HEATING OIL
HU
NYMEX UNLEADED GAS
IB
LIFFE ITALIAN BOND, EURO BTP
JGB LIFFE JAPANESE BOND
JO NYCE ORANGE JUICE
JT TOSE YEN BOND 10 YEAR
JY
CME JAPANESE YEN
JYC CME JAPANESE YEN, COMBINED
KC CSC COFFEE
KG KCBOT NATURAL GAS , WESTERN
KI
CBOT GOLD, CBT 1Kg.
KV KCBOT VALUE LINE INDEX
KIWI CME NEW ZEALAND DOLLAR
KW KCBOT WHEAT, K.C.
LB CME LUMBER
LBOR LIFFE EURIBOR, 3 MONTH
LC CME CATTLE, LIVE
LH
CME HOGS, LEAN
LI LIFFE ECU BOND 3 MONTH
LIBR EUREX LONDON INTER-BANK, 3 MONTH
LJ
LIFFE GILT, LONG
LJS LIFFE GILT, LONG, APT
LL LIFFE STERLING, 3MONTH
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FA SYMBOL
LIST FUTURES MARKETS AVAILABLE
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Exchange Description
Symbol
LLS LIFFE STERLING, 3MONTH, APT
MB CBOT MUNI-BOND INDEX
MD CME S&P 400 INDEX MIDCAP
MDC CME S&P400 MID-CAP COMBINED
MP CME MEXICAN PESO
MPC CME MEXICAN PESO, COMBINED
MSI CME MEXICAN IPC, STOCK INDEX
MV KCBOT VALUE LINE MINI
MW MGE WHEAT, Mpls. HARD RED
SPRING
NG NYMEX NATURAL GAS
NK
CME NIKKEI INDEX 225
NR CBOT RICE, ROUGH
NRC CBOT RICE, ROUGH, COMBINED
NS CME NASDQ 100 INDEX
NSE CME NASDQ 100 INDEX, ELECTRONIC SESSION
O CBOT OATS
OATC CBOT OATS, COMBINED
PA NYMEX PALLADIUM
PB
CME PORK BELLIES, FROZEN
PBF CME PORK BELLIES, FRESH
PF LCE COFFEE, LONDON
PL NYMEX PLATINUM
PN
NYMEX PROPANE
PVE NYMEX ELECTRICITY, PALO VERDE
RS WCE CANOLA, ( RAPESEED )
RT
CME RUSSELL 2000 INDEX
RTC CME RUSSELL 2000 INDEX, COMBINED
RUBL CME RUSSIAN RUBLE
S CBOT
SOYBEANS
SOC CBOT SOYBEANS, COMBINED
SB CSC SUGAR #11
SE CSC SUGAR #14
SED SIMEX EURO DOLLAR, SIMEX
SF CME SWISS FRANC
SFC CME SWISS FRANC, COMBINED
SG
CME S&P 500 BARRA GROWTH INDEX
SHTZ EUREX GERMAN BOND, 2 YEAR ( SCHATZ )
SI COMEX SILVER
SM CBOT SOYBEAN MEAL
SMC CBOT SOYBEAN MEAL, COMBINED
SNK SIMEX NIKKEI 225 INDEX. SIMEX
SP CME S&P 500 INDEX
SPC CME S&P 500 INDEX,COMBINED
SU CME S&P 500 BARRA VALUE INDEX
SV
CBOT SILVER, 5000 OZ. CBT
TB CME T-BILLS, 90 DAY
TBC CME T-BILLS, 90 DAY, COMBINED
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FA SYMBOL
LIST FUTURES MARKETS AVAILABLE
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Exchange Description
Symbol
TOPX TOSE TOPIX STOCK INDEX
TS35 TFE TORONTO 35 STOCK INDEX
TU
CBOT T-NOTES, 2-YEAR
TUC CBOT T-NOTES, 2-YEAR COMBINED
TUE CBOT T-NOTES, 2-YEAR, ELECTRONIC SESSION
TW CEC T-NOTES, 2-YEAR
TY
CBOT T-NOTES, 10-YEAR
TYC CBOT T-NOTES, 10-YEAR,COMBINED
TYE CBOT T-NOTES, 10-TEAR, ELECTRONIC
SESSION
US
CBOT TREASURY BONDS US, 30 YR
USC CBOT T-BONDS US, 30 YEAR, COMBINED
USE CBOT T-BONDS US, 30 YEAR, ELECTRONIC
SESSION
W CBOT
WHEAT
WHC CBOT WHEAT, COMBINED
WF
WCE FLAXSEED
WO WCE OATS, WINNIPEG
WW WCE WHEAT, WINNIPEG
YX
NYFE NYSE COMPOSITE INDEX
ZB
LCE BARLEY, LONDON
ZC
LCE COCOA NO. 7, LONDON
ZH
LCE SUGAR #5 (WHITE SUGAR), LONDON
ZO
IPE GAS OIL, LONDON
ZP
LCE POTATOES, LONDON
ZW
LCE WHEAT, LONDON
* * * COMBINED in SYMBOL
Description refers to Combined Day and after Hour Trading
sessions. Combined sessions includes price range of all sessions for the trading
day.
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FA SYMBOL
LIST FUTURES ( 3 MONTH FORWARD ) MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
ZAL
LME ALUMINUM, 3 MONTH FORWRD
ZCP
LME COPPER, 3 MONTH FORWARD
ZLD
LME LEAD, 3 MONTH FORWARD
ZNK
LME NICKEL, 3 MONTH FORWARD
ZTN
LME TIN, 3 MONTH FORWARD
ZZC
LME ZINC, 3 MONTH FORWARD
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FA SYMBOL
LIST FOREX MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
BPN
BRITISH POUND, NEW YORK
CAD CANADIAN DOLLAR
CDN
CANADIAN DOLLAR, NEW YORK
CHF
SWISS FRANC
DEM DEUTSCHE MARK
DMN
DEUTSCHE MARK, NEW YORK
EUBP
EURO CURRENCY - BRITISH POUND CROSS
EUJY
EURO CURRENCY - JAPANESE YEN CROSS
EUNY
EURO CURRENCY - US DOLLAR CROSS
FRF
FRENCH FRANC
GBP
BRITISH POUND
ITL
ITALIAN LIRA
JPN
JAPANESE YEN, NEW YORK
JPY
JAPANESE YEN
MPX
MEXICAN PESO
SFN
SWISS FRANC, NEW YORK
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FA SYMBOL
LIST CASH MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
AD AUSTRALIAN DOLLAR
AGL
SILVER, LONDON FIX
ALUM ALUMINUM
AULA GOLD, LONDON AM FIX
AULP
GOLD, LONDON PM FIX
BO SOYBEAN OIL
BP BRITISH POUND
BRL
BROILERS DESSED “A”
BUTN BUTANE
C CORN
CB CRUDE OIL, BRENT
CC COCOA
CD CANADIAN DOLLAR
CL CRUDE OIL, WEST TEXAS INT.
CT COTTON
DESL
DIESEL FUEL
DM DEUTSCHE MARK
DX U.S. DOLLAR INDEX
EG
EGGS
EM
LIBOR, 1 MONTH
EMCI
LIBOR, 6 MONTH
EMTH
LIBOR, 3 MONTH
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FA SYMBOL
LIST CASH MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
EU
EURO CURRENCY
FC FEEDRER CATTLE
FCX
FEEDER CATTLE INDEX
FF FED FUNDS
FR FRENCH FRANC
GC GOLD
GM GNMA
HG COPPER
HO HEATING OIL
HU
UNLEADED GASOLINE
HUX
GASOLINE, UNLEADED, OXYGENATED
JY
JAPANESE YEN
KC COFFEE, BRAZILIAN, N.Y.
KM COFFEE, COLUMBIAN, N.Y.
KW WHEAT, KANSAS CITY
LC CATTLE, LIVE
LH
HOGS, LIVE
LHX
LEAN HOG INDEX
LS STEERS, LIVE WEIGHTED
MP MEXICAN PESO
MW WHEAT, MINNEAPOLIS
NG NATURAL
GAS
O
OATS
PA PALLADIUM
PB
PORK BELLIES
PL PLATINUM, INDUSTRIAL
PLF
PLATINUM, FREE MARKET
PN
PROPANE
PUG GASOLINE, PREMIUM UNLEADED
PUGX
GASOLINE, PREMIUM UNLEADED, OXYGENATED
PW WHEAT, PORTLAND
S SOYBEANS
SB SUGAR # 11
SF SWISS FRANC
SI SILVER
SM SOBEAN MEAL
STCX
STOCKER CATTLE INDEX
TS STEERS, TEXAS
W WHEAT, CHICAGO
ZH
SUGAR # 5, LONDON
ZAL
ALUMINUM
ZCP
COPPER
ZLD
LEAD
ZNK
NICKEL
ZTN
TIN
ZZC
ZINC
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FA SYMBOL
LIST INDEX MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
ADV NYSE ADVANCE
AOR ALL ORDINARIES
BADV NY BONDS ADVANCE
BBT NY BONDS 20 CLOSE
BDEC NY BONDS DECLINE
BIT NY BONDS 10, INDUSTRIAL
BITR NY BONDS ISSUES TRADED
BNH NY BONDS, NEW HIGHS
BNL NY BONDS, NEW LOWS
BUNC NY BONDS, UNCHANGED
BUT NY BONDS 10, UTILITIES
CAC CAC 40 STOCK INDEX
CR CRB, COMMODITY INDEX
CRCU CRB, CURRENCY INDEX
CRFU CRB, FUTURES INDEX
CRGR CRB, GRAINS INDEX
CRML CRB, METALS INDEX
CRMT CRB, LIVESTOCK INDEX
DAX DAX ,STOCK INDEX
DECL NYSE DECLINE
DJ15 DOW 15, UTILITIES
DJ15A DOW 15, UTILITIES, ACTUAL
DJ20 DOW 20, TRANSPORTATION
DJ20A DOW 20, TRANSPORTATION, ACTUAL
DJ30 DOW 30, INDUSTRIALS
DJ30A DOW 30, INDUSTRIALS, ACTUAL
DJ65 DOW 65, COMPOSITE
DJ65A DOW 65, COMPOSITE, ACTUAL
ENG67 CRB ENERGY (1967) INDEX
ENRGY CRB ENERGY INDEX
ER EURO TOP 100
FT FTSE-100
GI GOLDMAN SACHS COMMODITY INDEX
HKHS HONG KONG HANG SENG STOCK INDEX
IFTS FTSE, IMM
IMPT CRB IMPORTS INDEX
INDT CRB INDUSTRIALS INDEX
INTR CRB INTEREST RATE INDEX
KV VALUE LINE
KVG VALUE LINE, Geometric
MB MUNI BOND INDEX
MD S&P 400, MID-CAP
MSI MEXICAN STOCK INDEX
NASD NASDAQ COMPOSITE
NITR NYSE ISSUES TRADED
NK300 NIKKEI 300 INDEX
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FA SYMBOL
LIST INDEX MARKETS AVAILABLE
Unilink
Exchange Description
Symbol
NNH NYSE NEW HIGHS
NNL &nbs | |