Datastream makes a difference between primary quotes and non-primary quotes – see the example of Google below. In the column Primary Quote you see: yes or 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.
Searched by: name = google; Status = Active; Instrument type = Equity
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.
The database Worldscope offers annual and quarterly report data, like sales, net income and total assets. This data could be accessed with the Thomson One Banker Excel add-in. However this tool is outdated and not supported anymore by Thomson Reuters.
So now we get our Worldscope data inDatastream. If you want to download this data from Datastream, please note the following:
- 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).
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.
In the Datastream Navigator you can find the mnemonics of the individual option contracts (call or put, with their own expiry dates and exercise prices).
The number of option contracts can be quite overwhelming, especially when you include dead options to the results.
TIP: to make sure you find the options you’re looking for, start searching for the DS Mnemonic of the underlying instrument (the index, commodity, stock etc) and enter this Mnemonic in the search field ‘Underlying Mnemonic’ of the Advanced Search in the Option part of Datastream Navigator.
When you want to download data for all option contracts of a certain option, it might be easier to work with lists. These can now be found in the Data Category ‘Index Constituents’. In general, each option has four lists: live call options, live put options, dead call options and dead put options.
With the DS Mnemonic of the list you can download the Static and Time Series information of the underlying option contracts in one request in Datastream.
See also the EDSC manual on Options for more information.
Under the Function button in Datastream a lot of useful options are hidden. One of them is the option to rebase an index: you can choose the date this index is rebased to 100.
These are the steps you have to take:
- Open Time Series Request in Datastream
- Enter the code of the index or use Find Series to find the code
- Click behind Datatypes/Expressions the Fx-button
- Search for Rebase
- Use for example REB#(expression,date) and click OK
- Enter the date behind Date (in this format: dd/mm/yyyy)
- Click OK – the function is entered behind Datatypes/Expressions
- Enter your start- and enddate
- Click Submit – the data download starts
When you need stockprices centered around a particular date, for example the announcement of a merger or a CEO change, you can use the Datastream Event Study Matching Tool (available on our website, you need an ERNA-account to access it). For this tool you need a list of identifiers Datastream can recognize (DSMnenomics, DS Codes, ISIN-codes or SEDOL-codes), the dates, in a format like 10-16-2007, and a computer with a Datastream connection. Behind Estimation window and Event window you have to specify the number of days around the event.
If your list only contains US companies you can also use a tool in CRSP: this tool is called ‘Daily Extract with Time Window’. You can find it in CRSP Annual Update under Tools. Here you need a text-file with the PERMNOs and the event date (in YYYYMMDD format – see picture below). Under Window Size you have to specify the number of days before and after the event. Don’t forget to mark Company Name and Price.
The continuous series are Thomson Financial’s options calculated series available on the Datastream product. Unlike individual options series, continuous series do not expire until the actual options class ceases to exist. So these series have the most history, consider them like a basket off individual options. The values from the nearest expiry month options are used to calculate for example the Implied Volatility.
Please note: some datatypes in the options Data Category in Datastream are only available for the continuous series – behind the name of the datatype you’ll see “(Cont Series)”. This means these datatypes are not available for indiviudal options series.
You can find more background material in the ExtraNet of Datastream Navigator – in the Options User Companion.
An easy way to find out the local stock market index for a specific stock is to use the Static Request in Datastream and download the INDXL – the Associated local market index. This datatype returns the code of the benchmark local stock market index for a given equity.
For example: the INDXL of Ahold returns AMSTEOE, that’s the Datastream Mnemonic of the AEX-index; the INDXL of Google is S&PCOMP (S&P 500) etc.
This can help you get the codes of the indices needed for the Event Study Tool, but be aware: the company doesn’t have to be a constituent of this local index! For example the INDXL of Spyker Cars is also AMSTEOE, but the company isn’t part of the AEX-index (it’s a constituent of the Amsterdam Small Cap Index).
In the data category Commodities in Datastream you can find the spot prices of metals, energy, chemicals, softs (like cocoa) etc. However picking the ‘right’ one can be difficult, for example a search for oil gives 5734 results.
In Datastream’s Extranet you can find Top 30 commodities benchmark series, a list of the main spot prices for a variety of commodities, like crude oil, gold and cotton.
Another option is to use the Commodities Explorer in Datastream Navigator. The explorer offers a ‘guided search’: the commodities are grouped by topic.
When you are searching for the spot price of a commodity and you also need future prices, then first request the futures and use the datatype FUI (underlying instrument) in a static request to get the Mnemonic of the underlying commodity.