To view a sample file, click here. The sample is in Excel for ease of inspection; for live feeds, we offer csv or txt.
This layout is called Per-Event. The sample contains data for March 2018 for four contracts. There is one row for each expiry-related event.
The first column contains the Swaps Monitor-assigned five-letter code for the contract (CMEES = CME E-Mini S&P 500 Options, ERXDX = Eurex DAX Futures, IPENG = ICE UK Natural Gas Futures and SYFTB = ASX 24 10 Year Commonwealth Treasury Bond Futures).
The second column contains an identifier for the nature of the event (LTDT = Last Trade Date, FDED = First Delivery Date, etc). The supporting files provide further information about each of these codes.
The third column contains a standardized identifier for each event, with additional characters for options. The fourth and fifth columns contain identifiers assigned by the exchange that trades the contract.
Columns six and eight contain the date and, if applicable, the time at which the event occurs, with column six expressed in the local time of the exchange and column eight in a common standard (London time, in this example). Columns seven and nine contain the date and time when the contract was first available for trading, in local and London time respectively.
For example, the fifth row shows that the Last Trade Date for the March 2018 ICE Natural Gas Futures was February 27, 2018 at 17:00 local time. This contract was first available for trading at 7:00 local time on March 31, 2011.
We offer a vast number of variations on this layout. To discuss the available options, please contact us.
In addition to this file, you will receive a number of supporting files, including full technical specifications.