Information Quality: Requests for Correction of Information & Agency Responses
September 22, 2003
Inquiry regarding data fields in CFTC 1995-2002 Options & Futures Historical files:
While accessing your historical data for options and futures from 1995-2002, I found that they are missing a few fields of data that the 2003 series now offer.
The files are:
1995-2002 Options & Futures Historical files
http://www.cftc.gov/files/dea/history/deahistfo95.zip to http://www.cftc.gov/files/dea/history/deahistfo02.zip
The historical data is lacking the last several fields which the 2003 fields feature. In trying to write reports for this, the need for CONTRACT UNITS, CFTC CONTRACT MARKET CODE (QUOTES), CFTC MARKET CODE IN INITIALS (QUOTES), CFTC COMMODITY CODE (QUOTES) has become obvious in my reports for clients. These fields are all missing in each series (to some degree, 1995 data is the worst since it is oldest and least up-to-date) and it would be very helpful if the historical files themselves had them, as opposed to me attempting to guess values on a cross-reference basis.
As mentioned above, the historical files from 1995-2002 for options and futures are lacking CONTRACT UNITS, CFTC CONTRACT MARKET CODE (QUOTES), CFTC MARKET CODE IN INITIALS (QUOTES), CFTC COMMODITY CODE (QUOTES) fields (some or all of them). I believe that these files should have this data added to them to remain consistent with the current format of options and futures data.
I would appreciate any information you have in regards to this issue.
CFTC Response:
Thank you for your inquiry about the missing data fields in the 1995-2002 Options & Futures Historical files.
We agree that the utility of this information will be enhanced when the historical files and the current files all include the same data fields.
We do plan to include the missing files [CONTRACT UNITS, CFTC CONTRACT MARKET CODE (QUOTES), CFTC MARKET CODE IN INITIALS (QUOTES), CFTC COMMODITY CODE (QUOTES)] in the 1995-2002 Options & Futures Historical files.
The CONTRACT UNITS field was omitted from these files apparently as a result of a programming error. When the CFTC CONTRACT MARKET CODE (QUOTES), CFTC MARKET CODE IN ITITIALS (QUOTES), CFTC COMMODITY CODE (QUOTES) fields are added to the 1995-2002 Options & Futures Historical files, that error will be corrected.
We cannot give you a specific date when these fields will be added to the 1995-2002 Options & Futures Historical files, but it will be accomplished as resources permit.
Again, thank you and please let us know if you have any other questions.