Time Series Extensions

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Related Topics

 

 

Extensions are suffixes that modify an instrument, or a variable representing an instrument. For example,

 

IBM.last

 

specifies the last price of IBM.

 

Time series extensions apply to instruments that have an expiration, i.e., futures and options. The table below summarizes  time series extensions:

 

Extension

Meaning

.DAY

Days since 1/1/1900

.DOW

Day of Week (Sunday=0)

.DOY

Day of Year

.DOM

Day of Month

.TOD

Minutes since midnight

.TOW

Minute of Week

.TOM

Minute of Month

.TOY

Minute of Year

.MONTH

Month (1-12)

.YEAR

Year (4 digits)