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9.7
Automatic copying of historic data for Thomson
Reuters Expired Contracts symbols
The naming of currently traded realtime future contracts for Thomson-Reuters symbols (RICs)
basically follows this pattern:
{Future Root Code}{Month Code}{Last Digit Year}
For example, at the time of writing in September 2013, the RIC “FDXZ3” denotes the December
contract ({Month Code} = Z) in 2003 ({Last Digit Year} = 3) for the FDAX future ({Future Root
Code} = FDX). Once the contract expires in end of December, 2013, FDXZ3’s data state will
become closed. However, once trading for the FDAX December 2023 commences, FDXZ3 will
be reactivated (with a then different meaning).
Thomson-Reuters also supplies special RICs for expired contracts that show a longer life span
(up to 100 years as opposed to up to 10 years for current contracts). The pattern for an expired
contract symbols is
{Future Root Code}{Month Code}{Last Digit Year}^{Decade}
So once the FDXZ3 expires, historic (daily, weekly, monthly) data will be made available under
the expired contract code FDXZ3^1 (^1 denotes decade one of the current century).
In order to avoid inconsistent data (as in the example above, mixed up histories containing data
both for December contracts from 2013 and 2023), DataConnect allows to copy all collected data
(including intraday histories) from the freshly expired realtime contract symbol over to the
dedicated expired contract symbol. If wanted, the closed realtime symbol can be automatically
removed from the data cache. This will be performed as part of the nightly servicing.
Configuration of this feature is available for both TREP and EIKON based Thomson-Reuters data
feeds via the Manage Datafeeds dialog.
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Tradesignal DataConnect User Guide
18.05.15