Archive for the ‘Datastream’ Category

In the Time Series Request in Datastream you can choose the frequency. Available options are Daily, Weekly, Monthly, Quarterly and Yearly. What happens when your serie has a daily frequency and you request the data with a monthly frequency? That depends on the datatype you request.

P and MV
When you download the closing price (P) or market value (MV) of an equity with a monthly frequency, you get data for one day of each month. Which day Datastream uses, depends on the start date entered in the request: if the start date is 1/1/2005, you get the P and MV of the first (trading) day of each month. If you enter 1/31/2005 as the start date you get the P and MV of the last trading day of each month.

Be aware: this is not a monthly average – it’s just the data on one particular day of the month.

When you download for example Turnover by volume (VO) Datastream does something else. You don’t get the VO for a particular day of the month – you get a sum of the VO for all days in the month. But which days are used to sum?

An example

We requested  the VO of Google from 1/1/2013 on a monthly basis (no enddate entered). This is the result:

Google monthly 1

In the third column we summed the VO-data for dates from the fourth column to check the data.

Then, we requested the VO of Google from 1/31/2013 until 6/30/2013. This is the result:

Google monthly 2

Again, we checked the sum by adding the daily data. This request is probably what you want if you need monthly data.

So: to know which days were summed, check the date in the first column. The value behind that date is the sum of the days from that date, one month backwards.

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Datastream makes a difference between primary quotes and non-primary quotes – see the example of Google below. In the column Primary Quote you see a yes or a no.  As you can see the ISIN code is the same for these four listings, but the DS Mnemonic, DS Code and SEDOL are different for each listing.

vb google
Searched by: name = google; Status = Active; Instrument type = Equity

Finding cross-listings

When you want to find for example Dutch companies that are cross-listed, use the Advanced Search option in Datastream Navigator:

–          Mark NO behind the field Primary Quote

–          Behind Market enter Netherlands

In the output you’ll see the cross-listings. Of course you can also use other search criteria, like exchange.
To get the corresponding primary listings: use the ISIN-codes of the cross-listings in a Static Request in Datastream and request the name, exchange, DS Mnemonic, DS Code and SEDOL (Datatypes: NAME,EXNAME,MNEM,DSCD,SECD) – this will give the information for the primary listing.

Is a stock cross-listed?

When you already have a list of identifiers and you want to know if there are currently cross-listings, there is another option in Datastream. Use a Static Request and request the datatype QTEALL.
(Related Country Quotes – this is the definition:  This composite static datatype provides all listing details for a security.  Dead and non-research quotes are excluded.  For each related quote, the following items are returned:
CD01     Datastream code
MN01   Datastream mnemonic
MJ01    Major security flag (Y or N)
PQ01    Primary quote (Primary or Secondary)
MK01   Exchange of quote
GL01    Country of exchange
Up to 20 quotes can be displayed for each security.)

This is an example of the results for the companies in the AEX-index (only showing the first two listings, the maximum number of listings in this example is 8, for AccelorMittal):


When you use the datatype QTDALL, also the inactive quotes are shown. The maximum number of quotes is still 20.

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In Datastream you can find the current beta (a measure of the volatility of a share) with datatype Mnemonic BETA in a static request. Worldscope and Thomson Financial also offer their current beta (available with the Excel add-in). The method of calculation is different in these three databases, so check the definition and calculation method!


An example of the beta from Worldscope (WS), Thomson Financial (TF) and Datastream (DS) for Google and TomTom.

Historical beta’s are more difficult to get. Datastream offers a historical beta (Mnemonic = 897E) , but you have to check their calculation method to see if you agree with this method. Datastream uess a five year period, and the share price is regressed “against the respective Datastream total market index using log changes of the closing price on the first day of each month”. Which Datastream total market index is used, can be retrieved from Datastream, by requesting in a static request the datatype Assoc Market Index – Datastream (Mnemonic = INDX) of the equity.

More information about the calculation of the historical beta by Datastream can be found in Extranet: http://extranet.datastream.com/Codes/Economics/69Chan/69Beta.htm When you have to login, please use the creditials used for Datastream Navigator.

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The database Worldscope offers annual and quarterly report data, like sales, net income and total assets. This data can be accessed with the Thomson One Banker Excel add-in.

Worldscope data is also, but partly, available inDatastream. If you want to download this data from Datastream, please note the following:

  • We only have access to the data items in bold. When you select in Datastream Navigator a non-bold item, you’ll get an error message for that item in your output. In most cases, the non-bold data items can be downloaded from Thomson. Unfortunately you can’t search by WC code in the Excel add-in of Thomson, but you can check this WC code in the definition of the items in the Excel add-in of Thomson.
  • If you want quarterly data, you have to select the correct datatype in Datastream. In Datastram Navigator check at the top of the screen what is selected behind Worldscope Report Type: If you want quarterly data, you have to change Annual into All or Interim to find the datatype and select the Interim datatype (with the A at the end of the Mnemonic). In most cases Interim means quarterly, but it can also mean semi-annual.
    When you select the annual datatype and request the data on a quarterly basis in Datastream, you will see that the annual value is repeated for each quarter. Please note: You won’t be able to see this when you change the currency in Datastream (due to changes in the exchange rate).

Worldscope & DS2

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This week the New York Stock Exchange was closed for two days, due to Hurricane Sandy. How does Datastream deal with these non-trading days?

When you download for example the Closing Price (Datatype P) the closing price of the previous trading day, in this case October 26, will be repeated. If you want no data when there was no trading, you have to use a different datatype: P#S. This will give you ‘unpadded data’, for example when the exchange is closed due to a holiday or the stock is suspended and thus no stock price is published.

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This week Datastream Navigator changed a bit:

  • You can find the codes of individual future contracts in Datastream Navigator in the Data Category ‘Futures’ (like AEX Index mar 2013), and lists of living or dead futures in the Data Category ‘Constituents Lists’.
  • The Explore option has moved, you can find it in the black bar on top of the Search page. This Explore options is a guided search.
  • When you use the Search option, and click on a code you see a overview of the information for that stock or index. This now includes for example a link to the constituent lists where the stock belongs to.
  • When you use the Search option, you’ll get a list of 10 results, to see result number 15 you have to go to the next page. Now, when the total number of results is less than 400, you’ll find a link Show all in the right upper corner.

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It can be difficult to find risk free interest rates. You can’t find them under that name in Datastream, so what do you have to choose?

Datastream offers an overview of the instruments they recommend for the main markets, including the Datastream code . This overview is available on the Extranet of Datastream, this is the link. When you have to login use the username and password of Datastream Navigator.

Please note: these series are recommended by Datastream, for your own research purpose you might have to choose other series.

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