U.S. and Canada futures market bulk history. 03/09/93 ed. Commodity Systems Inc. Boca Raton, Fl. (keypunched by Data Library Service University of Toronto 15/09/93) MAGNETIC TAPE SPECIFICATION The Commodity Systems data base can be obtained in a contract level format in standard U.S. ASCII or EBCDIC code. The data can be prepared in any contract sequence and sorted by date of trade. In other words, a tape for pork bellies, for example, could be prepared beginning with the July 1986 contract, followed by the August 1986 contract, etc., through the most distant current contract being delivered in the 1990's. Each contract would result in one logical record for each day on would be sorted by date. Physical records would be comprised of one or more logical records. We adopt 50 as our standard block size, and it is used unless otherwise requested. No end-of-file mark separates contracts or commodities, and each tape is written as one file with an end-of-file mark at the end. Accompanying each tape is a printout of the data prepared stating the length of each file, the delivery month and year, and the starting and ending dates of the information. New contracts always begin a new physical record, and the unused balance of the final physical record is filled with blanks. The first record of each contract is a header record. RECORD LAYOUTS Header Record Columns Contents 1 Zero ('0') 2 - 5 CSI Number 6 blank 7 - 8 Delivery month ('00' for stocks) 9 - 10 Delivery year ('00' for stocks) 11 blank 12 0 = Normal 2 = Put 3 = Call 13 - 17 Strike price 18 blank 19 - 24 Creation date (YYMMDD) 25 blank 26 - 27 Conversion factor 28 - 60 blanks Data Record Columns Contents 1 - 6 Date in YYMMDD format 7 blank 8 - 12 Open price (closing bid for options) 13 - 17 High price 18 - 22 Low price 23 - 27 Settlement price 28 - 32 Cash price (closing ask for options, zero for stocks) 33 - 39 Contract volume 40 - 46 Contract open interest/stock dividend 47 - 53 Total commodity volume (zero for stocks) 54 - 60 Total commodity open interest (zero for stocks) All fields are right adjusted and are always numeric. Blanks fill the fields to the left. All data is produced according to the CSI format found in the "WSJ Price/CSI Price" column of the CSI Commodity Data Fact Sheet. Please note the CSI price and the WSJ price, and when dealing with the CSI price values, consult the conversion factor column on the right hand side of each page. A conversion factor of -1, for example, reflects that the final digit is in eighths. A CSI value of 3746 for wheat would be equivalent to 374 and 6/8, or 374-3/4. Conversion Factor Conversion Action Required +4 Move decimal point 4 places left +3 Move decimal point 3 places left +2 Move decimal point 2 places left +1 Move decimal point 1 place left 0 Leave number as it is -1 Terminal digit is in eighths -2 Terminal two digits are in 16ths -3 Terminal two digits are in 32nds -4 Terminal two digits are in 64ths