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Derivatives & Convertibles

Futures Daily Context

Name: Futures Daily Context
Creator: TW Market Data
License: https://twmarketdata.com/en/legal/licensing

Per-contract daily futures context: near-month futures close vs spot index (basis and basis%), open interest and its daily change, days-to-settlement with a settlement flag, three-institution net OI, and put/call ratio. Derived from TAIFEX daily futures + spot index. Not a forecast, not a recommendation.

← Futures Daily Context overview

DerivedSource: TAIFEX·Plan: starter·Cost: 2 credits·GET /v2/datasets/futures-daily-context

Futures Daily Context is a Taiwan market dataset sourced from TAIFEX, served by TW Market Data as GET /v2/datasets/futures-daily-context, with data as of 2026-07-31.

Data as of 2026-07-31 (trade_date).

Overview

Field	Type	Description
`contract`	string
`trade_date`	string
`near_contract_month`	string
`method`	string
`futures_close`	number
`spot_index_code`	string
`spot_close`	number
`basis`	number	futures−spot
`basis_pct`	number
`open_interest`	number
`oi_delta`	number	daily Δ
`settlement_price`	number
`days_to_settlement`	number
`settlement_flag`	boolean
`inst_net_oi_foreign`	null	NULL pre-2023-07
`inst_net_oi_itrust`	null
`inst_net_oi_dealer`	null
`put_call_ratio`	null	NULL where no options data
`grade`	string
`rule_version`	string

Coverage

Rows	6,954
Window	1998-07-21 – 2026-09-03
Grade	Derived
Measured	2026-09-04from the dataset registry

Example response

A real response from this endpoint. Rows are returned under "data", and provenance is carried in the shape shown below — it is not identical across datasets, so read this page's rather than assuming another's.

{
  "dataset_id": "futures_daily_context",
  "request_context": {
    "scope": "taifex_futures_daily_context",
    "coverage_type": "daily_series",
    "filters": {
      "contract": null,
      "trade_date": null,
      "date_from": null,
      "date_to": null,
      "settlement_flag": null,
      "limit": 50
    },
    "min_trade_date": "2026-05-25",
    "max_trade_date": "2026-08-04"
  },
  "quality": {
    "row_count": 50,
    "contract_count": 1,
    "settlement_day_count": 2,
    "rows_missing_basis": 0,
    "sensitive_fields_exposed": false
  },
  "lineage": {
    "methods": [
      "current_month"
    ],
    "rule_versions": [
      "v0"
    ],
    "semantics": "One row per trading session: the futures close against its spot index, the resulting basis (futures minus spot) and basis_pct, open interest and its day-over-day delta, days to settlement, and the three institutional NET OPEN INTEREST legs with the put/call ratio. DERIVED from taifex_futures_daily, so an outage upstream appears here a day later."
  },
  "error": null,
  "data": [
    {
      "contract": "TX",
      "trade_date": "2026-08-04",
      "near_contract_month": "202608",
      "method": "current_month",
      "futures_close": 43357,
      "spot_index_code": "TWSE_TAIEX",
      "spot_close": 43360.66,
      "basis": -3.66,
      "basis_pct": -0.0084,
      "open_interest": 106602,
      "oi_delta": -2987,
      "settlement_price": 43344,
      "days_to_settlement": 15,
      "settlement_flag": false,
      "inst_net_oi_foreign": null,
      "inst_net_oi_itrust": null,
      "inst_net_oi_dealer": null,
      "put_call_ratio": null,
      "grade": "derived",
      "rule_version": "v0"
    },
    {
      "contract": "TX",
      "trade_date": "2026-08-03",
      "near_contract_month": "202608",
      "method": "current_month",
      "futures_close": 43230,
      "spot_index_code": "TWSE_TAIEX",
      "spot_close": 43386.41,
      "basis": -156.41,
      "basis_pct": -0.3605,
      "open_interest": 109589,
      "oi_delta": -1713,
      "settlement_price": 43219,
      "days_to_settlement": 16,
      "settlement_flag": false,
      "inst_net_oi_foreign": null,
      "inst_net_oi_itrust": null,
      "inst_net_oi_dealer": null,
      "put_call_ratio": null,
      "grade": "derived",
      "rule_version": "v0"
    }
  ],
  "data_count": 50,
  "known_gaps": [
    "basis_is_futures_close_minus_spot_close_a_negative_basis_is_backwardation",
    "inst_net_oi_legs_are_net_open_interest_not_traded_volume",
    "days_to_settlement_counts_calendar_days_not_trading_days"
  ],
  "warnings": [
    "not_investment_advice"
  ],
  "envelope": {
    "dataset_id": "futures_daily_context",
    "scope": "taifex_futures_daily_context",
    "row_count": 50
  }
}

Captured from the live API on 2026-07-20.

Licence and attribution

Part of the data in this service is obtained from the Government Open Data Platform (data.gov.tw) and used under the Open Government Data License, version 1.0. Providing agencies: Taiwan Stock Exchange, Taipei Exchange, Taiwan Futures Exchange, Taiwan Depository & Clearing Corporation, National Development Council, Central Bank of the Republic of China (Taiwan), Department of Statistics of the Ministry of Economic Affairs, and Customs Administration of the Ministry of Finance. The value-added processing, derived calculations and presentation in this service are the responsibility of TWMD and are not associated with the providing agencies.

Cite this dataset

TW Market Data. (2026). Futures Daily Context (Version 2026-07-31) [Data set]. TW Market Data. Retrieved 2026-09-05, from https://twmarketdata.com/en/docs/api/derivatives/futures-daily-context

The version is the dataset's own as_of, not the date this page was built. Where we have no as_of the field is left out rather than filled in. Check a signature

Datasets that join with this one. The key each pair aligns on is shown, so you can plan a multi-table query without guessing.

Options Daily Delta
Joins on contract + trade_date
TAIFEX final settlement price
Joins on contract
Options (daily)
Joins on trade_date
TAIEX ATM Implied Volatility
Joins on trade_date
Options settlement price
Joins on trade_date

Getting started

Put your key in the X-API-Key header.
Add query parameters (symbol, date range, limit).
Send the request and read the data array.

curl "https://api.twmarketdata.com/v2/datasets/futures-daily-context" \
  -H "X-API-Key: sk_live_..."

Filtering

Parameter	Required	Type	Description
`symbol`	Yes	string	Ticker, e.g. 2330.
`start_date`	No	string (YYYY-MM-DD)	Start of the query range.
`end_date`	No	string (YYYY-MM-DD)	End of the query range.
`limit`	No	integer	Maximum rows to return.

Python

import requests

resp = requests.get(
    "https://api.twmarketdata.com/v2/datasets/futures-daily-context",
    params={},
    headers={"X-API-Key": "sk_live_..."},
)
resp.raise_for_status()
print(resp.json()["data"])

OpenAPI

This endpoint is GET /v2/datasets/futures-daily-context. The full machine-readable schema (parameters, security, response envelope) lives in the OpenAPI spec.

Request & Response

Request

curl "https://api.twmarketdata.com/v2/datasets/futures-daily-context?symbol=2330&start_date=2026-01-01&end_date=2026-06-30&limit=5" \
  -H "X-API-Key: $TWMD_API_KEY"

Response

{
  "dataset_id": "futures_daily_context",
  "quality": {
    "row_count": "<number>",
    "contract_count": "<number>",
    "settlement_day_count": "<number>",
    "rows_missing_basis": "<number>",
    "sensitive_fields_exposed": "<boolean>"
  },
  "error": null,
  "data": [
    {
      "contract": "<string>",
      "trade_date": "<string>",
      "near_contract_month": "<string>",
      "method": "<string>",
      "futures_close": "<number>",
      "spot_index_code": "<string>",
      "spot_close": "<number>",
      "basis": "<number>",
      "basis_pct": "<number>",
      "open_interest": "<number>",
      "oi_delta": "<number>",
      "settlement_price": "<number>",
      "days_to_settlement": "<number>",
      "settlement_flag": "<boolean>",
      "inst_net_oi_foreign": "<null>",
      "inst_net_oi_itrust": "<null>",
      "inst_net_oi_dealer": "<null>",
      "put_call_ratio": "<null>",
      "grade": "<string>",
      "rule_version": "<string>"
    }
  ],
  "data_count": 50,
  "known_gaps": [
    "<string>"
  ],
  "warnings": [
    "<string>"
  ],
  "envelope": {
    "dataset_id": "<string>",
    "scope": "<string>",
    "row_count": "<number>"
  }
}