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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

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