LIFFE TICK DATA
Contents
Availability
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.
Description
The data includes futures and options (except where noted) on the following commodities:
- 3 month EuroLira (ticker "V")
- Italian Government Bond (BTP, ticker "W")
- Long Gilt (ticker "G")
- Short Sterling (ticker "L")
- FT-SE 100 Index (ticker "X") - futures only
- FT-SE 250 Index (ticker "Y") - futures only
- German Government Bond (Bund, ticker "A")
- 3 month EuroMark (EuroDM, ticker "U")
- 3 month ECU (ticker "C") - futures only
- New Japanese Government Bond (post 2/4/91, ticker "N") - futures only
- 3 month EuroSwiss (ticker "S")
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.
Vendor information
London International Financial Futures and Options Exchange (LIFFE)
Cannon Bridge House
1 Cousin Lane
London EC4R 3XX
Phone: +44 (0)20 7623 0444
Fax: +44 (0)20 7588 3624
Accessing LIFFE Tick Data
- Current Kellogg faculty and doctoral students may borrow the CDs from Research Computing. If several researchers are interested, it can be uploaded to skew3. The data is in four CDs; the Windows data retrieval software has to be installed for each CD separately.
- Other tick-by-tick data available at Kellogg: CME Selective Time and Sales data; NYSE Trade and Quote (TAQ) data.
- Additional futures data, end-of-day summaries: Futures Industry Association data. DRI, Datastream and Bloomberg also include some futures and options data.