Symbol Syntax for Securities, Forwards and Continuous Contracts

As you know, when retrieving financial data with TeleTrader WorkStation RTD, you have to specify the internal identification of the symbol for which you want to get data. A symbol is the unique identification given to every security that is traded on an exchange or over-the-counter market (for example stocks, futures, options, indices and other types of securities).

You can either use the symbol identification number (for example {829802} ) or its unique name (for example MSFT_0FSPC). To find out the identification of a symbol, you can use the Lookup command to search for a symbol ID within Excel (see Searching for Symbols with RTD), or you can display the necessary information in TeleTrader WorkStation price pages. The symbol ID is also visible in the Chart Properties dialog for a symbol.

For futures contracts, additional functionality is available to create forwards and continuous contracts.

Note             We recommend to use symbol IDs, as unique names are subject to change (for example due to changes on the side of the exchanges).

Symbol identification numbers and unique names

Note             This requires an active subscription for TeleTrader WorkStation. If you don't have such a subscription, we recommend to use the Lookup command instead (see Searching for Symbols with RTD).

To display the symbol ID in price pages

▪       Start TeleTrader WorkStation and log in to your user account.

▪       Open a price page for the symbol(s) that you are interested in. You can for example use the QuickBar:

-       Click an icon in the QuickBar.

-       In the menu that appears, select the group that you want to open, for example NASDAQ 100.

-       In the submenu, select All Symbols.

-       All symbols of this group are displayed in a price page.

▪       Click in the row of the symbol and press F2. The symbol ID is displayed and can be copied from here.

To display symbol ID and unique name in separate price page columns

▪       Right-click the price page and choose Properties.

▪       In the Price Page Properties dialog, click Columns.

▪       From the Available Columns list, choose the column TID (for symbol ID) or TUN (for symbol unique name).

Note             To search for a column, type its name into the Filter field below the list.

▪       Click the >> button.

▪       The chosen column is now moved to the Displayed Columns list and is visible in the price page.

▪       You can copy the symbol ID or unique name by right-clicking the cell and choosing Copy as Text.

Forwards and continuous contracts

For futures symbols, you can use special syntax to create:

▫       Forwards, which means that you always retrieve data for the current front month or any defined forward month.

▫       Continuous contracts, which means that you combine data from several futures contracts using various continuation settings to roll over from one contract to the next.

To create forwards and continuous contracts, you have to use the root symbol of a futures contract. Like with normal symbols, root symbols have both a root symbol identification number and a unique name.

You can look up the root symbol ID of various futures contracts under this link: http://company.ttweb.net/futureOverview/

Alternatively, you can also display the root symbol's unique name (TRUN) in price pages, or copy forwards and continuous contracts from futures price pages in TeleTrader WorkStation by using F2.

To copy forwards and continuous contracts from price pages

▪       Open a price page with forwards or continuous contracts from the QuickBar, for example the Commodities Futures Overview or a similar price page.

▪       Click in the row of the continuous contract or forward that you want to use and press F2. The root symbol ID and correct syntax is displayed and can be copied from here. For more information about the syntax used for continuous contracts and forwards, see further below.

To display the root symbol's unique name in a price page column

▪       Right-click the price page and choose Properties

▪       In the Price Page Properties dialog, click Columns.

▪       From the Available Columns list, choose the column TRUN.

▪       Click the >> button.

▪       The chosen column is now moved to the Displayed Columns list and is visible in the price page.

▪       You can copy the unique name by right-clicking the cell and choosing Copy as Text.

Syntax for forwards

Forwards are created by adding a pound sign # before the root symbol identification, and adding the desired forward month behind the symbol. The front month is given with 1-, the following month with 2- and so on.

#Symbol

Identification of the futures' root symbol. You can use the symbol ID or unique name.

;1-

;2-

...

Forward month. ;1- is the front month, ;2- the following month and so on.

To get the front month of Soybeans on CBOT, e.g. ZS 05/2011, you can use the root symbol ID as copied from a price page in TeleTrader WorkStation:

#{866918};1-

The following month of Soybeans on CBOT, e.g. ZS 07/2011, can be specified in the following way:

#{866918};2-

The same request using the root symbol's unique name for Soybeans:

#F2:ZS_15U_SPC;2-

Syntax for continuous contracts

Continuous contracts are created by adding a percent sign % before the root symbol identification, and adding the desired continuation settings behind the symbol as shown in the table below.

%Symbol

Identification of the futures' root symbol. You can use the symbol ID or unique name.

;FGHJKMNQUVXZn-

Contract expiration months that are used for creating the continuous contract. Can be any ordered subset of FGHJKMNQUVXZ.

n- specifies the forward month, with 1- being the front month, 2- the following month and so on.

Trigger

Condition that is used to trigger the rollover into the next contract.

 

;TR0DnXM0             Expiration date: Rollover will occur n days before the expiration date.

;TR0DnBMm             Beginning of month: Rollover will occur n days after the start of the month in which the front month contract expires and m months before the expiration month.

;TR0DnEMm             End of month: Rollover will occur n days before the end of the month in which the front month contract expires and m months before the expiration month.

;TR1                        Open Interest: Rollover will be triggered when the open interest of the next contract is higher than the open interest of the front month contract.

;TR2                        Volume: Rollover will be triggered when the volume of the next contract is higher than the volume of the front month contract.

;TR3                        Open interest and volume: Rollover will be triggered when both open interest and volume of the next contract are higher than the open interest and volume of the front month contract.

;TR4                        Open interest or volume: Rollover will be triggered when either open interest or volume of the next contract are higher than the open interest or volume of the front month contract.

Timing

Optional. Determines when the rollover takes place as soon as the trigger condition is met.

 

;T0                           Anticipate: Rollover will occur on the exact date that you specify in the trigger settings.

;T1                           Align with price data: Rollover will occur on the day after the rollover was triggered with an open interest or volume trigger. The day after the trigger will already start with the Open price of the new contract.

;T2                           When known: Rollover will occur two days after the rollover was triggered with an open interest or volume trigger. The day after the trigger will still show the prices of the old contract, the Open price of the new contract will start the following day.

 

Default: ;T1

Pricing

Optional. Determines how the price difference between the old and the new contract is calculated to splice the contracts together.

 

;PCC                        Close old contract, close new contract: The Close price of the current contract is compared with the Close price of the previous contract on the same day. 

;POO                        Open old contract, open new contract: The Open price of the current contract is compared with the Open price of the previous contract on the same day. 

;PCO                        Close old contract, open new contract: The Open price of the current contract is compared with the Close price of the previous contract from the previous day. 

 

Default: ;PCC

Accumulation

Optional. Determines if the prices of older contracts are adjusted to the current contract, and in what way.

 

;AB           Back adjust: The absolute price difference between the current contract and the previous contract is added to or subtracted from all older contracts.

;AP           Percentage adjust: The price difference between the current contract and previous contract is calculated as a percentage. The prices of older contracts are adjusted by this percentage.

;AN           No adjustment: The prices of older contracts are not adjusted to the price of the current contract. Gaps may be visible in the chart on rollover.

 

Default: ;AB

Confirmation

Optional. Details for the open interest or volume rollover conditions.

 

;C1                           Roll on first trigger

;C2                           Roll on second consecutive trigger

;C3                           Roll on third consecutive trigger

;C4                           Roll on fourth consecutive trigger

 

Default: ;C1

For example, the following FDAX continuous contract uses the root symbol ID of DAX Futures. Rollover will occur 2 days before the expiration date:

%{413719};FGHJKMNQUVXZ1-;TR0D-2XM0;T1;PCC;AB

If rollover should be triggered by open interest instead, a different trigger setting must be used:

%{413719};FGHJKMNQUVXZ1-;TR1;T1;PCC;AB;C1