LSEG Datastream

LSEG Datastream#

LSEG Datastream is a platform that provides access to a wide range of financial data, including futures data. Datastream is available via WRDS. WRDS does not provide real-time data access to Datastream, but it is still a valuable source of data for research. The Datastream data in WRDS is updated monthly. The data is the same as the data in LSEG Workspace (e.g., via Eikon).

Getting Started with Documentation#

Before searching for specific data, it’s recommended to familiarize yourself with Datastream’s documentation:

  1. Visit the WRDS Datastream Documentation Page

  2. Log in with your WRDS credentials

  3. Review the available manuals and overviews to understand:

    • Data coverage and limitations

    • Search functionality

    • Available data types and formats

    • Mnemonic conventions

This documentation will help you navigate the platform more effectively and understand the data structure before proceeding with specific queries.

Finding Variables (in Datastream and in WRDS generally)#

WRDS provides a powerful variable search tool that allows you to search across all WRDS datasets, including Datastream. This can be particularly helpful when:

  • You’re unsure which dataset contains your variable of interest

  • You want to compare similar variables across different datasets

  • You need to find specific mnemonics or variable names

Search Tips#

  • Use quotation marks for exact phrase matches

  • Try different variations of terms (e.g., “Treasury”, “T-Note”, “Government Bond”)

  • Check variable definitions carefully as similar variables may exist across different datasets

  • Note the update frequency and coverage period for each variable

The variable search tool is particularly valuable when working with Datastream, as it can help you identify the correct mnemonics and understand what data is available before constructing your queries.

Treasury Futures Example 1#

Search https://wrds-www.wharton.upenn.edu/dynamic-query-form/tr_ds_fut/wrds_cseries_info/

Treasury Futures Example 2#

Let’s consider first an example of how to search for Treasury Futures data in Datastream via WRDS.

To effectively search for Treasury Futures data in Datastream via WRDS, follow these steps based on the available tools and mnemonic conventions:

1. Access Futures Data via WRDS Web Query#

WRDS provides a structured interface for retrieving futures data:

  • Navigate to the Thomson/Refinitiv section in WRDS and select Datastream.

2. Mnemonic Structure for Treasury Futures#

Datastream uses standardized codes for futures contracts:

  • Continuous series (front contract):
    Format: [Symbol]CS00
    Example: TYCS00 for 10-Year Treasury Note futures (where TY represents the underlying asset).

    • CS indicates “continuous series” (auto-rolls to the next contract at expiration).

    • 00 specifies the rollover timing (1st day of the new month).

  • Individual contracts (live or expired):
    Format: LFUT[Symbol][L/D]
    Example: LFUTTYL for live 10-Year Treasury contracts or LFUTTYD for dead (expired) ones.

    • LFUT = List Futures

    • L = Live, D = Dead

3. Key Treasury Futures Symbols#

Common mnemonics for U.S. Treasury futures include:

Contract

Base Symbol

Example Continuous Series

Example Individual Contracts

2-Year Treasury Note

TU

TUCS00

LFUTTUL, LFUTTUD

5-Year Treasury Note

FV

FVCS00

LFUTFVL, LFUTFVD

10-Year Treasury Note

TY

TYCS00

LFUTTYL, LFUTTYD

30-Year Treasury Bond

US

USCS00

LFUTUSL, LFUTUSD

4. Search and Browse Tips#

  • Use WRDS Economic Indicators Filter: Narrow results by selecting “Futures” under asset classes and filtering by keywords like “Treasury” or “Bond”.

  • Consult Datastream Documentation: Access mnemonic lists and data dictionaries via WRDS’s Thomson/Refinitiv resources.

  • Verify Coverage: WRDS includes futures data but excludes fixed-income modules like bonds. For granular bond futures, consider cross-referencing with CRSP’s Treasury data.

5. Data Retrieval Example#

To download 10-Year Treasury Note futures:

  1. Continuous series: Use TYCS00 for auto-rolling front-month data.

  2. Individual contracts: Use LFUTTYL to retrieve all live contracts or LFUTTYD for expired ones.

  3. Export Options: Output data in .csv, .xlsx, or SAS formats via WRDS web queries.

Key Limitations#

  • WRDS updates Datastream data monthly, while LSEG Workspace offers real-time updates.

  • For intraday data or non-U.S. Treasury futures, use LSEG Workspace (access varies by institution).

By applying these conventions and tools, you can efficiently locate and extract Treasury Futures data in Datastream via WRDS.

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