Maddock Data International

The database has prices extending back to the start of trading for most markets and extensive history for the rest. It also includes ready-made Continuous Contracts for each market.

Market

First Contract

First Date of Data

Chicago Board of Trade (CBOT)

5-year Note

Jun 1988

20 May 1988

10-year Note

Jun 1982

3 May 1982

Corn

Mar 1979

4 Jan 1978

Dow Jones Industrial Average

Dec 1997

6 Oct 1997

Dow Jones Mini ($5 multiplier)

Jun 2002

5 Apr 2002

Oats

Mar 1979

26 Apr 1978

Rough Rice

Nov 1986

20 Aug 1986

Soybeans

Jan 1979

21 Nov 1977

Soybean Meal

Jan 1979

25 Jan 1978

Soybean Oil

Jan 1979

17 Jan 1978

Wheat

Mar 1979

5 Jan 1978

US Treasury Bond

Mar 1980

6 Mar 1978

Chicago Mercantile Exchange (CME)

Australian Dollar

Mar 1987

13 Jan 1987

British Pound

Mar 1980

20 Mar 1979

ECU

Mar 1999

4 Jan 1999

Canadian Dollar

Mar 1980

5 Mar 1979

Japanese Yen

Mar 1980

1 Apr 1979

Mexcian Peso

Jun 1995

25 Apr 1995

Swiss Franc

Mar 1980

20 Mar 1979

Eurodollar

June 1982

1 Feb 1982

E-Mini S&P 500

Dec 1997

9 Sep 1997

E-Mini Nasdaq 100

Sep 1999

12 Jul 1999

E-Mini Russell 2000

Dec 2001

23 Oct 2001

S&P 500 Index

Jun 1982

21 Apr 1982

Nasdaq 100

Sep 1996

10 Apr 1996

Goldman Sachs Commodity Index

Jul 1996

15 Apr 996

Feeder Cattle

Jan 1980

22 Jan 1979

Lean Hogs

Feb 1980

23 Nov 1979

Live Cattle

Feb 1980

14 Nov 1978

Lumber

Jan 1980

21 Mar 1979

Pork Bellies (Frozen)

Feb 1980

2 Apr 1979

Eurexchange (Eurex)

DAX

Mar 1999

4 Jan 1999

Euro-BOBL

Mar 1999

1 Feb 1999

Euro-BUND

Mar 1999

4 Jan 1999

Euro-SCHATZ

Mar 1999

20 Jan 1999

Euro-STOXX 50

Jun 1999

26 Mar 1999

Nemax 50

Dec 2000

14 Sep 2000

Swiss Market Index

Mar 1999

4 Jan 1999

Hong Kong Futures Exchange (HKFE)

Hang Seng Index

Apr 1996

1 Apr 1996

Mini Hang Seng Index

Oct 2000

9 Oct 2000

International Petroleum Exchange

Brent Crude

Sep 1988

8 Aug 1988

Gas Oil

Aug 1989

7 Jul 1989

Kansas City Board of Trade (KCBT)

Wheat (Hard Red Winter)

Mar 1980

14 Nov 1979

Korea Stock Exchange

KOSPI 200

Mar 2001

12 Dec 2000

London International Financial Futures Exchange (LIFFE)

3-month Euribor

Mar 1999

4 Jan 1999

3-month Euro Swiss Franc

Dec 1991

24 Sep 1991

3-month Short Sterling

Sep 1990

17 Aug 1990

Long Gilt

Sep 1988

27 May 1988

Cocoa

Mar 1983

1 Oct 1981

Coffee

Jan 1983

1 Dec 1981

Sugar

Mar 1990

6 Dec 1988

Wheat

Jun 1992

2 Dec 1991

FTSE 100 Index

Dec 1994

11 Oct 1994

Montreal Exchange

10-year Govt. of Canada Bond

Mar 1997

3 Dec 1996

New York Board Of Trade (NYBOT)

Cocoa

Dec 1980

8 Aug 1980

Coffee

Mar 1980

14 Nov 1979

Sugar #11

Jan 1980

17 Sep 1979

Cotton

Mar 1980

9 Nov 1979

Orange Juice

Jan 1980

8 Aug 1978

CRB Index

Sep 1986

12 Jun 1986

US Dollar Index

Mar 1986

9 Dec 1985

New York Mercantile Exchange (NYMEX)

Crude Oil

Jun 1983

7 Apr 1983

Heating Oil

Dec 1979

23 Nov 1979

Natural Gas

Jun 1979

16 Apr 1990

Unleaded Gas

Feb 1985

21 Dec 1984

Palladium

Dec 1982

1 Nov 1982

Platinum

Jan 1980

25 Sep 1979

High-Grade Copper

Jan 1989

23 Nov 1988

Gold

Jan 1980

23 Nov 1979

Silver

Jan 1980

23 Nov 1979

Singapore Exchange

Nikkei 225 Index

Sep 1980

5 Jun 1990

MSCI Singapore Index (SiMSCI)

Oct 1998

7 Sep 1998

MSCI Taiwan Index

Mar 1997

24 Feb 1997

Sydney Futures Exchange (SFE)

Australian Dollar

Mar 2001

6 Feb 2001

SPI/SPI 200

Mar 1983

17 Feb 1983

90-day Bank Bills

Mar 1991

31 Aug 1990

10-year Bond

Mar 1985

12 Dec 1984

3-year Bond

Jun 1988

17 May 1988

Broad Wool

Apr 1998

4 Feb 1998

Cattle

Sep 2002

13 Aug 2002

Fine Wool

Apr 1998

4 Feb 1998

Greasy Wool

Aug 1995

2 Jun 1995

Winnepeg Commodities Exchange (WCE)

Canola

Jan 1981

18 Nov 1980

Western Barley

Aug 1989

26 Nov 1996

Volume and open interest figures before Jan 1, 1998 have been adjusted to factor in the change of measurement at that time from bushels to contracts. A pre-1998 figure of 5 (representing 5,000 bushels) has been adjusted to 1 (representing 1 contract).

The CBOT Treasury Bond Complex (beginning with the March 2000 contract month) is based on a notional coupon rate of 6%. Previously it was 8%. To account for this change, we have adjusted our price histories for these markets so as to simulate a trading history based on a 6% coupon. In each case, the adjustments have been made using a constant adjustment factor for the entire pre-March 2000 history. These adjustment factors are based on information made available by the CBOT.

The adjustments provide approximate historical price levels for the U.S. Bond complex. Without the adjustments, it is not possible to compare current price levels to historical ones for the markets in question.

The current Lean Hogs contract (beginning with the February 1997 delivery) replaced the existing Live Hogs contract (which ended with the December 1996 delivery). The old Live Hogs prices have been retained in the database, with their levels adjusted according to the formula provided by the CME.

This contract is currently based on a notional 7% coupon. Prior to the March 1998 contract month, it was based on a 9% coupon. See the notes above for CBOT Treasury Bond Complex.

Beginning with the November 1996 delivery, the delivery cycle for the CRB index changed from {March, May, July, September, December} to {January, February, April, June, August, November}.

The Bridge/CRB Futures Index is a broad index of commodity prices as calculated from prices in the futures market.

First published by Commodity Research Bureau Inc. in 1957, using 28 futures markets and 2 spot markets, the Index has undergone 9 revisions in its composition since then, in an effort to stay relevant. Many other commodity indices are published, but the CRB Index remains the one most quoted.

The Index is calculated by first producing an average price for each market across a number of delivery months (in this way the Index is an average across time as well as across sectors). For instance, the average for Cotton might be the average of the March, May and July delivery month prices. This calculation is based on a minimum of 2 and a maximum of 5 delivery months extending out to a limit of 6 calendar months from the present. Once the arithmetic average for each market is determined, the prices are all multiplied together and then a geometric average for the whole is derived by taking the 17th root. This number is adjusted by the 1967 base year average and further adjusted to account for all revisions since then before being finally converted to a percentage figure.

The NYBOT offers a futures contract on the CRB Index, which in effect is a futures contract based on other commodity futures prices.

Volume and open interest figures for dates before 11th October, 1993 have been adjusted to bring them into line with current contract specifications (multiplied by 4). On that date, the value of a SPI tick was reduced from $100 to $25.

The SFE now offers virtual 24-hour trading for most of its contracts. The close of trading occurs in the late afternoon, after which settlement prices are issued. The next day's trading then begins with the "overnight" session. Therefore overnight trading should be regarded as the first leg of the "next" day rather than as a continuation of the "current" day.

The contract named "SPI 200" which represents trading from 9.50 am to 4.30 pm.on the trade date.

The contract named "SPI 200 C" (all-sessions combined) which represents trading from 5.10 pm (the previous evening) to 4.30 pm. on the trade date.

The contract named "SPI 200 N" (night) which represents trading from 5.10 pm (the previous evening) to 7.00 am on the trade date. (8.00am during non-US daylight savings months).

If a SPI contract fails to trade in the night session, the price fields are filled with the previous days settlement price (in order to avoid reporting zeroes). This indicates that the price has not advanced overnight.

The SFE's original Share Price Index contract was based on the ASX's All Ordinaries Index. When Standard & Poor's took over the ASX's index business in April 2000, and announced changes to the index structure, the SFE selected the S&P/ASX 200 Index to be the basis for a new Share Price Index futures contract - the SPI 200 (Maddock Futures code YAP).

The original SPI contract (Maddock Futures code YAO) continued to trade side-by-side with the SPI 200, with the final contract listed for trading being the September 2001 delivery. But through December 2000, open interest shifted from the old market to the new, and the December 2000 delivery was the last "old contract" that saw any active trading. At the expiry of this delivery on 29/12/2000, both markets were settling at the same price.

This has enabled us to "seamlessly" construct a market folder for Maddock Futures called "SPI Merged" (and other folders called "SPI Merged C" and "SPI Merged N").

The SPI Merged folders merge the history of the old SPI with the new. Contracts up to and including the December 2000 delivery represent the "old" SPI. Contracts beginning with the March 2001 delivery represent the "new" SPI.

Merging these individual contract histories into single folders allows the construction of continuous SPI contracts going back to 1983.

The table below summarises the various SPI codes available through Maddock Futures.

Beginning in 1997, the June delivery month was dropped from the Canola cycle and May and July deliveries were added.

The prices reported in the cash markets folder for London Bullion are the daily Silver Fix (in US cents per troy ounce) and the 3.00 p.m. Gold Fix (in US dollars and cents per troy ounce).

The Gold Fix is a ritual of the London financial district that dates back to 1919. Each day, 5 key market-making members of the London Bullion Market Association meet in the offices of N.M. Rothschild & Sons to buy and sell amounts of 400 troy ounce gold bars.

The fixing process is a type of auction. An initial price is suggested by the chairman. This price is then negotiated up or down towards a final "fixing", which is the price at which all the business of the 5 members and their various clients can be cleared.

The advantage of the fixing system is that a large amount of gold or silver can be traded at a single known price. The London fixes constitute a valuable reference point for the cash market as a whole, which trades almost uninterrupted around the clock and around the globe..

The 3.00 p.m Gold fix was introduced to supplement the a.m fix in 1968. The single daily Silver fixing takes place at midday.

The metals prices reported in the cash markets folder are the prices posted by the LME at the end of the second morning "Ring" session. There are two morning Ring sessions, the first beginning at 11.40 and the second at 12.30, during which each metal trades in turn for five minutes. Only Ring Dealing Members are allowed to participate. The second morning session is the key event of the trading day, as it gives rise to the official cash and settlement prices, which set the tone for the market in each metal.