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Datastream: Using Lists

Brief guide to using Datastream to retrieve data from the international equities markets.

Constituent Lists

Datastream contains many constituent lists of predefined groups of like entities such as the FTSE100 companies.  You can use the Datastream mnemonic of a constituent list to retrieve equities time series data for all the individual members in the list:

  1. Open a time series request and click on Find Series/Navigator.
  2. Change the Data Category to Constituent Lists and search for a list, eg., FTSE100.  This step often requires scrolling or addtional searching to identify the correct constituent list.
  3. Check the desired list and click "use selected" to paste the DS mnemonic into your time series request form.

4. Complete the time series request form and submit.

The example below shows a time series request form set up to retrieve for all 101 companies currently comprising the FTSE100 index and for two datatypes (adjusted price & volume) time series consisting of the most recent two years of daily data.

User-created lists

For many researchers a user created list is the only way to obtain a list containing exactly the time series desired.  NOTE: Creating a list sometimes requires extra time as you search in Navigator for all the time series of interest. However, searching Navigator does not activate the Datastream login so you can perform this preparatory work outside of Datastream access hours.

  1. Open Datastream in Excel.
  2. Open List Wizard and select Create a New List.
  3. Select the correct data category for the list you are creating (in this case futures). Also select a data category for the list you are creating (in this case also futures).

  

  1. Click the Find Series (Navigator) button to search for time series.  Check/select all series you want in your list.  In this case we have selected the entire first screen of commodity futures contracts traded on the ICE exchange having a settlement date sometime in 2018. Note also the Hist. column which tells you how far back you should go if you want to retrieve all available data for the contracts. 

5. When you click Use in Navigator shown above, the series names and mnemonics/codes will be pasted into List Wizard. You can continue searching for other series to add to your list or move on to saving your list in step 6 below.

   

6. Save your list. Click Next and give your list a meaningful Description and name the List File as well.  Be sure the List File name ends in the extension .LLT  and make sure you save it locally.

7. Click Finish.  The list is now saved locally so you can go back into List Wizard to continue adding series to your list or to start retrieving data.. 

To retrieve data for each series in the list open the time series request form as described under the Basics tab of this guide.  But now, instead of looking up individual series in Find Series, you just click the list picker button right below the Find Series button to select your user created list .  

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John Prechtel
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