Derivatives - Futures

Summary

A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset), such as a physical commodity or a financial instrument, at a predetermined future date and price. Futures contracts detail the quality and quantity of the underlying asset; they are standardized to facilitate trading on a futures exchange. Some futures contracts may call for physical delivery of the asset, while others are settled in cash. Futures can be used either to hedge or to speculate on the price movement of the underlying asset.

Features and Benefits

Extensive coverage and full time series histories for individual futures.

Real-time, delayed and End of day pricing information available for futures contract.

Real-time analytics calculated for the Bond Futures.

Fully cross asset futures are available as per exchange with a total coverage of close to 700,000 time series.

Superior quality of content with 20+ years legacy of meeting strict standards.

Additional Content Info

Coverage details

The Thomson Reuters futures offering comprehensively covers all global exchange traded financial and commodity futures contracts consisting of 49 countries and covering 100 regulated exchanges.

With extensive coverage and full time series histories for individual futures, the offering also consists of long uninterrupted histories of futures contracts in the form of continuous series from the first day of the contract. The continuous series are available real time, delayed and end of day time series.

There are various types on offer, all contracts will have continuation records position based with a switch over following last trade date. Other types exist on demand per client, for example back adjusted continuous with switch over based on volume are available for a selected amount of contracts. Similarly some continuous series may also offer differentiation by excluding serial months in its calculation focusing on traditional trading cycle only where the majority of trading takes place.

Bond Futures are provided with a real-time calculation of the cheapest-to-deliver (CTD) bonds associated with bond futures from the following exchanges: CBOT, Montreal, MEFF, LIFFE, EUREX, SEF, Tokyo Stock Exchange, MexDer, Moscow Exchange, CFFEX, WSE, RTS and NSI. Key analytics such as implied yields, futures invoice spread, etc. are also calculated per bond future to ensure that analysis of the most liquid contract is always available.

Thomson Reuters provides Fair Value Curves covering both Futures and OTC. The curves are independently sourced and rigorously crafted in real time to arrive at a theoretical price level for each individual traded contract. Futures fair values curves are available for all major exchange traded energy, metals and agricultural products. Further info is available on quote COMMOD/FV

Commitment of Traders: Weekly COT reports are available for futures as well the combined futures and options reports. Reports cover the US futures by CFTC, London Metal Exchange (LME) and ICE Europe.

Sources

Data is available real time or delayed and sourced directly from individual Exchanges. End of day data is stored on Thomson Reuters historical Database of Record from the real-time exchange feeds.

The Offering

Real time exchange prices are available for futures contracts, namely with the typical trading information; bid, ask, trade, open, high, low, settlement, volume and open interest. Delayed and end of day information for the same pricing attributes are also available. Comprehensive reference content with close to 50 specific futures facts such last trade dates, currency code, lot size, tick value, etc.

History

Histories are available as far back as 1973 for a number of US futures contracts mainly agricultural futures from the original Chicago Board of Trade exchange and short term interest rates (STIRS) and FX futures from Chicago Mercantile Exchanges. In most cases histories are available from inception for the contract since the majority of exchanges have been trading futures instruments for the last thirty years or less.

Quality

Ensuring superior quality, with +20 years legacy of meeting strict standards, expert analysts in global data centers focus on and handle specific futures markets. Significant checks are made to the futures content once data is archived for the day’s close. Each market is closely monitored and validated through an intensive battery of market rule tests.

Product Delivery

Thomson Reuters Eikon

Thomson Reuters Eikon delivers a powerful combination of information,
analytics and exclusive news on financial markets – delivered in an elegant
and intuitive desktop and mobile interface.

CSV, HTMLDesktopDaily

Thomson Reuters Datascope

Thomson Reuters Datascope is a strategic custom delivery platform that
supports a full cross-asset offering for pricing, reference data, and derived
analytics. Covering all major asset classes, including fixed income,
equities, futures and options, money, funds, loans, CDS/IRS and OTC equity
options, as well as corporate actions data, estimates, entity data and news,
DataScope Select provides flexible extraction capabilities, including file
customization, scheduling and trigger options, intraday snaps and third-party
entitlements. Cross-platform support is available for data retrieval and
includes a zero-footprint web interface, FTP connection (internet or private
network (BT Radianz (MPLS) or Delivery Direct) and API internet client
server. Fee-liable, subject to terms and conditions.

CSV, XML, HTMLFTP, DesktopDaily, Real-Time, On Demand

Thomson Reuters Datastream

One single solution where top down macro research meets bottom up analysis
for greater insights and profits. Datastream Provides robust analytics tools,
intuitive charting application as well as seamless MS®Office integration.

CSV, XMLFTP, APIDaily, Real-Time

Thomson Reuters Elektron

Thomson Reuters Elektron is a suite of data and trading propositions,
including low latency feeds along with the analytics, enterprise platform and
transactional connectivity to support any workflow application. All of these
capabilities can be deployed at a customer location or delivered as a fully
managed service from any one of our co-location and proximity hosting sites
around the globe.

CSVFTP, DesktopMonthly, Real-Time, On Demand