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Futures Symbols Overview
Specifications for Digital Data Feed: Futures Symbols Overview
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Message Definitions
- DDFplus Overview
- Exchange Codes
- Record Type 2 Messages
- Record Type S Messages
- Record Type 3 Messages
- Futures Symbols Overview
- Commodities Session Codes
- Base Codes
- Appendix A
- Appendix B
- Appendix C
- Rules for Special Processing of Stocks
Symbology
Futures Symbols Overview
September 1, 2017 - Download as .txt file
Example: CMY or CCMY; WZ8 or CTH8
Futures Symbols are 3 or 4 bytes, where C or CC is commodity code from symbols list, M is contract month code and Y is contract year.
Contract Months
- F = January
- G = February
- H = March
- J = April
- K = May
- M = June
- N = July
- Q = August
- U = September
- V = October
- X = November
- Z = December
- Y = Spot or cash market, contract year is 0, as in SPY0=S&P 500 index.
Contract Year is the last digit of the expiration year, 2001=1, 2002=2, 2003=3, 2004=4, 2005=5, 2010=0, etc.
For Futures contracts, currently only Natural Gas, that trade out more than 10-years DDF will use alternate contract months 'A','B','C','D','E','I','L','O','P','R','S','T' = 'Jan' ... 'Dec'
NGZ0 - Natural Gas Dec 2010
NGT0 - Natural Gas Dec 2020
NGT0 - Natural Gas Dec 2020
For select futures, currently only NYMEX ClearPort Swaps, exchange code "j" DDF will start utilizing a 3 character commodity code. The month and the year component will remain as before.
Example: CCCMY; JAOV7
Futures Options Symbols Overview
- CMSSSSSC or CCMSSSSP; SX5300P or ESU990C
- 8 bytes, where C or CC is commodity code from symbols list
- SSSS or SSS is strike price
- C is Put or Call letter
- C=call this year, D=call next year, E=call two years out, F=call 3 years out; G=call 4 years out
- P=put this year, Q=put next year, R=put 2 years out, S=put 3 years out, T=put 4 years out
Futures Options Symbols Overview - Extended Symbology
For exchange traded spreads and select futures options, currently only NYMEX ClearPort Swaps, exchange code "j" DDF will start utilizing a new format for options contracts.
CCCMY|SSSSSC or CCCMY|SSSSSP
Example: JAOV7|10050P
Up to 12 bytes, where CCCMY is the futures symbol.
CCC - commodity code, M - month, Y - year
| - delimiter
SSSSS is the strike price, left justified, zero padded to the right.
C = Call, P = Put
CCC - commodity code, M - month, Y - year
| - delimiter
SSSSS is the strike price, left justified, zero padded to the right.
C = Call, P = Put
Message Day Codes
1 - 9 = 1 - 9
0 = 10
A - U = 11 - 31
0 = 10
A - U = 11 - 31
