Research Computing >> Data >> LIFFE Tick Data
LIFFE TICK DATA
Time and sales (tick-by-tick) data from the London International Financial Futures and Options Exchange (LIFFE) is available to current Kellogg faculty and doctoral students. The media includes data extraction software ("CD Answer") that allows users to export their selected transactions to ASCII formats (including comma delimited files), Lotus (*.wks), DBase and other formats.
The data includes futures and options (except where noted) on the following commodities:
The period covered is from July 1, 1992 through December 29, 1995.
Variables available include time and date, contract type (puts and calls for options, and futures), commodity code, delivery month code, exercise price (blank for futures), price (premium) at which the transaction took place, estimated volume of contracts traded in the transaction, volatility, underlying, and a variety of flags with parameters about the transaction.
London International Financial Futures and Options Exchange (LIFFE)
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