Chapter 7 - Futures

01 - OVERVIEW

Futures are exchange traded contracts that obligate two parties to transact a specified asset at a predetermined price on a defined expiry date (a.k.a delivery date). They are standardised in terms of contract size, settlement method, and delivery date, and are centrally cleared - eliminating the bilateral counterparty risk.

Futures markets span stock indices, fixed income, foreign exchange, interest rate and commodities etc. Major futures contracts have a quarterly expiry cycle although non-quarterly expiry also exists.

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02 - INDIVIDUAL FUTURES CONTRACTS

Futures can be explored both LSEG Workspace & Programmatically. Before we explore we need to get familiar with the instrument codes. For Individual futures contracts, the codes incorporate indicators that tell you what the delivery month and year are. Once you know the root code, you can easily construct your own futures contract codes.

Format:

<rootcode><monthcode><yearcode>

Example: FEIZ4 where,

• FEI = Root Code for the three-month Euribor
• Z = December
• 4 = 2024

Delivery Month Codes for Futures

Month	Code	Month	Code
January	F	July	N
February	G	August	Q
March	H	September	U
April	J	October	V
May	K	November	X
June	M	December	Z

You can remember the delivery codes using the phrase:

Phrase to remember: Focus on Growth, Help the Journey, Keep Moving, Navigate Quality, Uphold Value, and eXcel with Zeal.

Delivery Years for Futures

Two-digit year codes are going to be the standard for futures contracts after January 2024 and beyond. The change was implemented to support contracts expiring more than 10 years in the future.

Exceptions: You may still see some RICs with single digit year codes based on certain exchanges or product type conventions and if the contracts expire more than 10 years in the future, the code is then a two digit number. Example: FEIZ6 has an expiry of December 2026 while FEIZ31 has a expiry of December 2031.

Note: The earlier FEIZ4 example uses a single-digit year code because single-digit codes are still seen on legacy and shorter-dated contracts.

RIC Rules App: The RIC Rules app on LSEG Workspace can be used for details on all type of RIC formats.

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03 - CONTINUATION RICS

The most convenient way to display futures contracts is by using continuation RICs. Since every futures contract has an expiry/delivery date, it ceases to exist after its expiry and the RIC changes every time. A continuation RIC will always display the details of the present contract and will roll over to the next one automatically thus eliminating the need to change the month and year code in a display.

Terms to understand:

• Front month = Refers to the nearest active expiry contract. The one closest to today's date that is still actively trading.
• Back month = All contracts with expiry dates beyond the front month.

Types of continuation RICs by Rollover Method:

In every format below, <position> is 1 for the front contract, 2 for the second front, and so on. The lowercase c is mandatory — continuation RICs are case-sensitive.

#	Rollover method	Format	Example	Notes
3.1	Nearest expiry	<root>c<position>	FEIc1	Rolls to the nearest active expiry contract.
3.2	Quarterly months only (serial)	<root>cm<position>	FEIcm1	For short interest rate futures that also settle in odd months — displays main quarterly months only.
3.3	Highest volume	<root>cv<position>	FEIcv1	Rolls to the contract with the highest volume.
3.4	Highest open interest	<root>coi<position>	FEIcoi1	Rolls to the contract with the highest Open Interest change.
3.5	Highest volume + OI combined	<root>cvoi<position>	FEIcvoi1	Rolls based on the combined volume + Open Interest change leader.
3.6	Lead month only	<root>c<position>t	FEIc1t	Tracks only the lead (front) month contract — unlike c1 which tracks all monthly contracts.

Note: FEI in the examples is the root code for the three-month Euribor.

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04 - FUTURES CHAINS

Futures chains allow you to see all the available contracts for a futures in one display as a list. Any RIC starting with 0# is a chain (ideally) A chain displays the individual futures contract with all contract months.

Example:

0#FEI:

Accessing the Data:

• On Workspace: Type the chain RIC of a futures contract in the search bar and press enter to open the overview app for the respective instrument. (or) Press F4 on Workspace to launch the Quote app. Type the chain RIC code to view the chain instantly.

  

  

• Programmatically:

You can access the chain constituents using the following methods:

Method 1:

from lseg.data.discovery import Chain
import lseg.data as ld
ld.open_session()
chain_constituents = Chain('0#FEI:')
display(chain_constituents.constituents)
ld.close_session()

    ['FEIM6',
     'FEIN6',
     'FEIQ6',
     'FEIU6',
     'FEIV6',
     'FEIX6',
     'FEIZ6',
     'FEIH7',
     'FEIM7',
     'FEIU7',
     'FEIZ7',
     'FEIH8',
     'FEIM8',
     'FEIU8',
     'FEIZ8',
     'FEIH9',
     'FEIM9',
     'FEIU9',
     'FEIZ9',
     'FEIH0',
     'FEIM0',
     'FEIU0',
     'FEIZ0',
     'FEIH31',
     'FEIM31',
     'FEIU31',
     'FEIZ31',
     'FEIH32']

Method 2:

Note: This may not work for all type of chains which are not of the standard format.

import lseg.data as ld
ld.open_session()
chain_constituents = ld.get_data(
    universe=['0#FEI:'],
    fields=['DSPLY_NAME']
)
display(chain_constituents)
ld.close_session()

	Instrument	DSPLY_NAME
0	FEIM6	EURIBOR 3M JUN6
1	FEIN6	EURIBOR 3M JUL6
2	FEIQ6	EURIBOR 3M AUG6
3	FEIU6	EURIBOR 3M SEP6
4	FEIV6	EURIBOR 3M OCT6
5	FEIX6	EURIBOR 3M NOV6
6	FEIZ6	EURIBOR 3M DEC6
7	FEIH7	EURIBOR 3M MAR7
8	FEIM7	EURIBOR 3M JUN7
9	FEIU7	EURIBOR 3M SEP7
10	FEIZ7	EURIBOR 3M DEC7
11	FEIH8	EURIBOR 3M MAR8
12	FEIM8	EURIBOR 3M JUN8
13	FEIU8	EURIBOR 3M SEP8
14	FEIZ8	EURIBOR 3M DEC8
15	FEIH9	EURIBOR 3M MAR9
16	FEIM9	EURIBOR 3M JUN9
17	FEIU9	EURIBOR 3M SEP9
18	FEIZ9	EURIBOR 3M DEC9
19	FEIH0	EURIBOR 3M MAR0
20	FEIM0	EURIBOR 3M JUN0
21	FEIU0	EURIBOR 3M SEP0
22	FEIZ0	EURIBOR 3M DEC0
23	FEIH31	EURIBOR 3M MAR1
24	FEIM31	EURIBOR 3M JUN1
25	FEIU31	EURIBOR 3M SEP1
26	FEIZ31	EURIBOR 3M DEC1
27	FEIH32	EURIBOR 3M MAR2

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05 - DELAYED FUTURES DATA

Certain Futures quotes are fee-liable and if you do not have access to the real-time data, you can access the delayed data (delayed by around 15 min in general) for free. You can view delayed full quotes on futures by adding a forward slash (/) in front of the RIC, for example: /FEIZ4 This is only available for contacts for specific months and expiry dates.

Note: Continuation RICs will not provide delayed data.

CODE TO BE ADDED. Need to explore the working code.

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06 - EXPIRED FUTURES

Futures are contracts which ceases to exist after the expiry date. You can still view the expired historical contracts by varying the format of the RIC and it is not straight forward as seen earlier.

Format:

<root code><Month Code><Year Code><^><Decade Code>

Example:

FEIZ6^1 where,

• FEI = Root Code for the three-month Euribor
• Z = December
• 6 = year digit (last digit of the year)
• ^ = caret to indicate an expired futures contract
• 1 = decade code. The decade code identifies which decade the contract belongs to. ^1 represents the 2010s, so FEIZ6^1 is December 2016. ^0 would represent the 2000s, so FEIZ6^0 would be December 2006.

import lseg.data as ld
ld.open_session()

expired_futures = ld.get_history(
    universe=['FEIZ6^1'],
    fields=['TRDPRC_1', 'HIGH_1', 'LOW_1', 'BID', 'ASK']   # if you skip the fields parameter, all the fields available will be displayed.
)
display(expired_futures)
ld.close_session()

FEIZ6^1	TRDPRC_1	HIGH_1	LOW_1	BID	ASK
Date
2016-11-22	100.305	100.31	100.305	100.305	100.31
2016-11-23	100.31	100.31	100.305	100.305	100.31
2016-11-24	100.305	100.315	100.305	100.305	100.31
2016-11-25	100.31	100.31	100.305	100.305	100.31
2016-11-28	100.31	100.315	100.305	100.305	100.31
2016-11-29	100.31	100.315	100.305	100.305	100.315
2016-11-30	100.31	100.315	100.305	100.305	100.31
2016-12-01	100.31	100.315	100.305	100.31	100.315
2016-12-02	100.31	100.315	100.305	100.305	100.315
2016-12-05	100.31	100.315	100.305	100.31	100.315
2016-12-06	100.31	100.315	100.31	100.31	100.315
2016-12-07	100.315	100.315	100.31	100.31	100.315
2016-12-08	100.32	100.32	100.31	100.315	100.32
2016-12-09	100.32	100.32	100.315	100.315	100.32
2016-12-12	100.315	100.32	100.315	100.315	100.32
2016-12-13	100.32	100.32	100.315	100.315	100.32
2016-12-14	100.315	100.32	100.31	100.315	100.32
2016-12-15	100.315	100.32	100.31	100.315	100.32
2016-12-16	100.31	100.32	100.31	100.31	100.315
2016-12-19	100.315	100.315	100.31	100.31	100.315

07 - TOOLS FOR FINDING DATA

Method 01 - Search & Advanced Search

Once you have identified the RIC for a Futures Contract, use the Search Bar on LSEG Workspace to type the RIC and select it from the smart results. This is quite straightforward and the classic approach.

Example:

Searching for FEIZ6 or 0#FEI:

Now, either you can choose the option from the results or switch to the apps section and choose the one you would like to.

Advanced Search:

If you do not know the RICs and want the list of all futures which you can drill down by asset type, exchange etc., the Advanced Search app can help. Once on the Advanced Search App, start by defining the Universe from the Universe Builder section. Example: Equity & Index Derivatives > Futures. You can drill down by using applying filters from the filters section usually on the left. Example: Exchange = LSEG.

You can also search programmatically. For the query, you can use the Export Query option on the Advanced Search app and feed into the below code.

Note: The select parameter would have many fields but you can choose the ones you need to be displayed.

import lseg.data as ld
from lseg.data.content import search
ld.open_session()
ld.discovery.search(
    view=ld.discovery.Views.EQUITY_QUOTES,
    top=10,  # you can control the output. Optional
    filter="(AssetState eq 'AC' and SearchAllCategoryv2 eq 'Futures' and (ExchangeName xeq 'LSEG'))",
    select="AssetState,RIC,ExchangeName,ExpiryDate"
)

	AssetState	RIC	ExchangeName	ExpiryDate
0	AC	0#SPXATM:	LSEG	NaT
1	AC	SPCXATM9M.O	LSEG	2027-01-06
2	AC	TOTLATM30D.K	LSEG	2026-07-15
3	AC	VNMATM30D	LSEG	2026-07-15
4	AC	MSOSATM30D.K	LSEG	2026-07-13
5	AC	XOVRATM30D.O	LSEG	2026-07-15
6	AC	CATATM30D	LSEG	2026-07-13
7	AC	NVDSATM30D.O	LSEG	2026-07-15
8	AC	VISATM30D	LSEG	2026-07-15
9	AC	TBFATM30D	LSEG	2026-07-15

Method 02 - APPS

These are tools which are useful for viewing a group of futures contracts by various categories.

Apps	Description	Why Start Here
INFOV	World Index Futures - Global Equity Index Futures basket	Ideal for a global view with various filters to drill down to the required result
BDFC	Bond Futures - Monitor and analyse bond futures basket	Provides a broad overview of Bond Futures in one place with various filters to drill down
Commodity Futures Asia	Commodity Futures for the Asian Time Zone	Ideal for Asian Commodity Futures covering all commodities like Oil, Metals, etc
Commodity Future Europe	Commodity Futures for the European Time Zone	Ideal for European Commodity Futures covering all commodities like Oil, Metals, etc
Commodity Futures Americas	Commodity Futures for the American Time Zone	Ideal for American Commodity Futures covering all commodities like Oil, Metals, etc
Press F4 to open Quote app	Live pricing for one or more futures	Provides real time pricing feeds for individual or chain RICs. (Note: Not ideal for expired contracts)

Method 03 - API

The same data can be accessed programmatically within Workspace using the CODEBK app (Codebook) or onto your local machine app in your preferred language either in Python, .Net or TypeScript. You can refer the developers.lseg.com for complete documentation, examples and code samples.

Getting the latest info:

import lseg.data as ld
ld.open_session()

latest_futures_det = ld.get_data(
    universe=['FEIZ6'],
    fields=['DSPLY_NAME', 'CONTR_MNTH', 'TRDPRC_1', 'BID', 'ASK', 'HIGH_1', 'LOW_1', 'OPINT_1', 'ACVOL_1'],   # if you skip the fields parameter, all the fields available will be displayed.
    header_type=ld.HeaderType.NAME  # optional
)
display(latest_futures_det)
ld.close_session()

	Instrument	DSPLY_NAME	CONTR_MNTH	TRDPRC_1	BID	ASK	HIGH_1	LOW_1	OPINT_1	ACVOL_1
0	FEIZ6	EURIBOR 3M DEC6	DEC6	97.365	97.36	97.365	97.39	97.355	874050	266020

The function is smart enough to expand a chain and display data for all its constituents too:

import lseg.data as ld
ld.open_session()

latest_futures_det = ld.get_data(
    universe=['0#FEI:'],
    fields=['DSPLY_NAME', 'CONTR_MNTH', 'TRDPRC_1', 'BID', 'ASK', 'HIGH_1', 'LOW_1', 'OPINT_1', 'ACVOL_1'],   # if you skip the fields parameter, all the fields available will be displayed.
    header_type=ld.HeaderType.NAME  # optional
)
display(latest_futures_det)
ld.close_session()

c:\Users\ukhandel2\OneDrive - London Stock Exchange Group\Work\Learnings\Python\Virtual Environments.learning_adc\Lib\site-packages\lseg\data_tools_dataframe.py:177:FutureWarning: Downcasting object dtype arrays on .fillna, .ffill, .bfill is deprecated and will change in a future version. Call result.infer_objects(copy=False) instead. To opt-in to the future behavior, set pd.set_option('future.no_silent_downcasting', True)

	Instrument	DSPLY_NAME	CONTR_MNTH	TRDPRC_1	BID	ASK	HIGH_1	LOW_1	OPINT_1	ACVOL_1
0	FEIM6	EURIBOR 3M JUN6	JUN6	97.645	97.64	97.645	97.65	97.635	701508	56032
1	FEIN6	EURIBOR 3M JUL6	JUL6	97.605	97.6	97.605	97.615	97.6	82577	23659
2	FEIQ6	EURIBOR 3M AUG6	AUG6	97.52	97.52	97.525	97.54	97.52	29824	4936
3	FEIU6	EURIBOR 3M SEP6	SEP6	97.46	97.455	97.46	97.485	97.455	631859	277605
4	FEIV6	EURIBOR 3M OCT6	OCT6	97.425	97.415	97.425	97.44	97.415	4717	1400
5	FEIX6	EURIBOR 3M NOV6	NOV6	97.385	97.385	97.39	97.41	97.385	740	181
6	FEIZ6	EURIBOR 3M DEC6	DEC6	97.365	97.36	97.365	97.39	97.355	874050	266035
7	FEIH7	EURIBOR 3M MAR7	MAR7	97.33	97.325	97.33	97.35	97.315	461211	189173
8	FEIM7	EURIBOR 3M JUN7	JUN7	97.335	97.33	97.335	97.37	97.325	450156	139090
9	FEIU7	EURIBOR 3M SEP7	SEP7	97.365	97.355	97.365	97.39	97.35	359284	143611
10	FEIZ7	EURIBOR 3M DEC7	DEC7	97.4	97.395	97.4	97.43	97.39	432802	125480
11	FEIH8	EURIBOR 3M MAR8	MAR8	97.42	97.415	97.42	97.445	97.405	339025	125229
12	FEIM8	EURIBOR 3M JUN8	JUN8	97.415	97.41	97.415	97.435	97.405	230927	114847
13	FEIU8	EURIBOR 3M SEP8	SEP8	97.4	97.395	97.4	97.415	97.39	201455	87865
14	FEIZ8	EURIBOR 3M DEC8	DEC8	97.375	97.37	97.375	97.39	97.365	216406	81245
15	FEIH9	EURIBOR 3M MAR9	MAR9	97.355	97.35	97.355	97.365	97.345	165681	40942
16	FEIM9	EURIBOR 3M JUN9	JUN9	97.33	97.325	97.33	97.34	97.32	87917	42405
17	FEIU9	EURIBOR 3M SEP9	SEP9	97.31	97.305	97.31	97.315	97.3	60839	19646
18	FEIZ9	EURIBOR 3M DEC9	DEC9	97.28	97.275	97.28	97.29	97.27	45438	20592
19	FEIH0	EURIBOR 3M MAR0	MAR0	97.255	97.25	97.255	97.265	97.245	37010	14223
20	FEIM0	EURIBOR 3M JUN0	JUN0	97.22	97.215	97.22	97.235	97.215	31733	11323
21	FEIU0	EURIBOR 3M SEP0	SEP0	97.19	97.185	97.19	97.2	97.185	28728	5911
22	FEIZ0	EURIBOR 3M DEC0	DEC0	97.16	97.155	97.16	97.17	97.15	23543	3698
23	FEIH31	EURIBOR 3M MAR1	MAR1	97.13	97.12	97.13	97.14	97.12	11175	2911
24	FEIM31	EURIBOR 3M JUN1	JUN1	97.095	97.09	97.095	97.105	97.085	2554	2335
25	FEIU31	EURIBOR 3M SEP1	SEP1	<NA>	97.05	97.06	<NA>	<NA>	588	<NA>
26	FEIZ31	EURIBOR 3M DEC1	DEC1	<NA>	97.015	97.03	<NA>	<NA>	30	<NA>
27	FEIH32	EURIBOR 3M MAR2	MAR2	<NA>	96.975	97.005	<NA>	<NA>	<NA>	<NA>

Accessing the history:

import lseg.data as ld
ld.open_session()

latest_futures_det = ld.get_history(
    universe=['FEIZ6'],
    fields=['TRDPRC_1', 'BID', 'ASK', 'HIGH_1', 'LOW_1', 'OPINT_1'],   # if you skip the fields parameter, all the fields available will be displayed.
    interval='1D',          # optional
    start='YYYY-MM-DD',     # optional
    end='YYYY-MM-DD'        # optional
)
display(latest_futures_det)
ld.close_session()

HELP App:

On Workspace, if you are stuck and need any documentation, steps or any kind of support, you can check in the HELP app. Just search for HELP to navigate.