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The contracts

We provide daily settlement price data and indicators for a selection of futures contracts traded at the main exchanges (CME, EUREX, ICE, ASX, SGX, Montréal Exchange), based on publicly available data (mostly from Quandl). We carefully correct historical data from various anomalies (gaps, change of multiples, etc.).

As futures contracts are usually quoted only a few months or a few years before delivery date, settlement prices time series are typically made of several contracts “chained” together. In order to build long time series, we gather data from all individual contracts available and chain them automatically when you request them either one at a time, on the Explore page, or combined together in a portfolio, on the Backtest page.

On this page we describe all the contracts you can use in your backtests.

Equity

Ausralia S&P/ASX 200 Index

ASX SPI 200 and mini-SPI 200 futures contracts are the benchmark equity derivatives products in Australia. Their underlying is S&P/ASX 200 Index, wich is composed of the 200 largest listed companies in Australia. The large contract (SPI) is arround USD 40k while the smaller one (MSPI) is half this size.

USA S&P 500 Index E-Mini

S&P 500 is the reference index for US equity. It covers the 500 highest capitalization stocks, which amount to roughly 80% of US stock market in term of market capitalization. ES is one of the most popular futures contracts, with a contract value of around USD 145K. CME group launched in May 2019 a new “micro” contract with the ticker MES and a tenth of the size of the “mini” contract, hopefully much more manageable for most individual investors.

India Nifty Index

  • Data code: CME/MNF
  • Ticker(s): MNCA (2)

Europe EURO STOXX 50 Index

EURO STOXX 50 is an equity index of the 50 highest market capitalization in the Euro zone. Contract is worth 10 times index value, which amounts to around USD 40K.

STOXX Europe 600 Index

STOXX Europe 600 is an index of the 600 largest market capitalization in Europe. It has a much broader base than EURO STOXX 50, and it should be noted that this index includes for a large part non-EURO stocks (from the UK and from Switzerland). Contract size is 50 times index value, amounting to around USD 20K.

Hong Kong Hang Seng Index

  • Data code: HKEX/HSI
  • Ticker(s): MHI (10)

Canada S&P/TSX 60 Index

  • Data code: MX/SXM
  • Ticker(s): TSE (50)

Japan Nikkei 225 Index

  • Data code: OSE/NK225M
  • Ticker(s): N225M (100)

Japan Topix Index

  • Data code: OSE/TOPIXM
  • Ticker(s): MNTPX (1K)

China FTSE A50 Index

  • Data code: SGX/CN
  • Ticker(s): XINA50 (1)

Bonds

USA 5-year Government Bonds

  • Data code: CME/FV
  • Ticker(s): ZF (1K)

USA 2-year Government Bonds

  • Data code: CME/TU
  • Ticker(s): ZT (2K)

USA 10-year Government Bonds

  • Data code: CME/TY
  • Ticker(s): ZN (1K)

Italy 10-year Government Bonds

  • Data code: EUREX/FBTP
  • Ticker(s): BTP (1K)

Germany 10-year Government Bonds (Bund)

  • Data code: EUREX/FGBL
  • Ticker(s): GBL (1K)

Germany 5-year Government Bonds (Bobl)

  • Data code: EUREX/FGBM
  • Ticker(s): GBM (1K)

Germany 2-year Government Bonds (Schatz)

  • Data code: EUREX/FGBS
  • Ticker(s): GBS (1K)

Canada 10-year Government Bonds

  • Data code: MX/CGB
  • Ticker(s): CGB (1K)

Japan 10-year Government Bonds

  • Data code: SGX/JB
  • Ticker(s): SGB (10K)

FX

Australian Dollar

AD and M6A are futures contracts on the Australian Dollar (AUD) / USD exchange rate. The notional value of the large contract (AD) is AUD 100K, while the smaller one (M6A) has a more manageable size of AUD 10k.

British Pound

GBP and M6B are futures contracts on the British Pound (GBP) / USD exchange rate. The multiplier of the large contract (GBP) is GBP 62.5K, while the smaller one (M6B) is worth a tenth of it at GBP 6.25K.

  • Data code: CME/BP
  • Ticker(s): GBP (62.5K), M6B (6.25K)
  • Specifications

Brazilian Real

BRE is a futures contract for 100K Brazilian Reals in USD.

Canadian Dollar

CAD and MCD are futures contracts on the Canadian Dollar (CAD) / USD exchange rate. The multiplier of the large contract (CAD) is CAD 100K, while the smaller one (MCD) is worth a tenth of it at CAD 10K.

Euro

EUR and M6E are futures contracts on the Euro (EUR) / USD exchange rate. The multiplier of the large contract (EUR) is EUR 125K, while the smaller one (M6E) is worth a tenth of it at EUR 12.5K.

Japanese Yen

  • Data code: CME/JY
  • Ticker(s): MJY (1.25)

Mexican Peso

  • Data code: CME/MP
  • Ticker(s): MXP (0.5)

Russian Ruble

  • Data code: CME/RU
  • Ticker(s): RUR ()

Swiss Franc

  • Data code: CME/SF
  • Ticker(s): MSF (12500)

Agriculture

Corn

ZC and YC are futures contracts on corn. Futures contracts on corn are among the earliest futures contracts and price data dates back to 1959. The smaller contract YC offers quite a low liquidity compared to ZC, which still has a very manageable size, around USD 18K.

Live Cattle

  • Data code: CME/LC
  • Ticker(s): LE (400)

Lean Hog

  • Data code: CME/LN
  • Ticker(s): HE (400)

Soybean

  • Data code: CME/S
  • Ticker(s): YK (10)

Wheat

  • Data code: CME/W
  • Ticker(s): ZR ()

Sugar n°11

  • Data code: CME/YO
  • Ticker(s): SB (112000)

Cocoa

  • Data code: ICE/CC
  • Ticker(s): CC (10)

Cotton

  • Data code: ICE/CT
  • Ticker(s): CT ()

Energy

West Texas Intermediate (WTI) Crude Oil

CL and QM are futures contracts on respectively 1000 and 500 barrels of crude oil to be delivered at Cushing, Oklahoma.

Henry Hub Natural Gas

  • Data code: CME/NG
  • Ticker(s): QG (2500), NG (10K)

Brent Crude Oil

  • Data code: ICE/B
  • Ticker(s): Z (1K)

Rates

3-month Eurodollar Interbank Deposit

  • Data code: CME/ED
  • Ticker(s): GE (2500)

Metals

Gold

  • Data code: CME/GC
  • Ticker(s): MGC (10)

Copper

  • Data code: CME/HG
  • Ticker(s): QC (12500)

Silver

  • Data code: CME/SI
  • Ticker(s): SI (1K)