Symbology for futures contracts

[macdice]

Hi
If you're building a tick database, how do you identify futures contracts? Would you say that SHORT STERLING is a security, and store the delivery month with each time and sales tick? Or would you say that SHORT STERLING is a class of security, and SHORT STERLING MARCH 2011 is a security? Or something else?
Thanks

 

[karthik84]

hi,
i am new to this forums!!!!

 

[dcraig1]

An interesting question. You might like to have a look at the InteractiveBrokers API to get an idea of how they define a "contract" - eg stock, option, future, index, bond etc etc.

You need at least:

Symbol
Name (eg company name)
Type (eg stock, future etc etc)
Expiry (for derivatives)
Currency denominated in
Primary Exchange
Exchange List
TimeZone
Min Tick Size
Trading Hours
Strike Price (for options)
Put/Call flag (for options)
Possibly a link to the underlying (for derivatives)
.
.
.

It pays to get this right at the start.

 

[covered_call]

Short Sterling is a product. When you further define the product with expiry, it is now a contract so short sterling march 2011 is a contract.