Serving the Quantitative Finance Community
historical corp bond data?
I'm looking for a dataset of daily corporate bonds data: price, volume, yield. Preferable 10.000 bonds, 10 years of history, and if possible daily updates. I don't mind paying a bit (<$1000) Any ideas?
Re: historical corp bond data?
I would check out the data sets used here. They are apparently O(10,000) bonds, not model prices but transaction prices, and compiled by a regulator (FINRA), so should be lost cost or perhaps even free. Here is the link to the regulator site.
Found a fee page. Actually not so cheap -- somewhat cheaper for a tax-exempt organization (say US research institution). If it is a research project, maybe you can find a US academic co-author at a school that has already acquired the db. Another issue: the academic data set has a 36 month delay (the regular data has an 18 month delay). Found more here
Well, good bond data is hard to come by. Michael Bloomberg turned that fact into a multi-billion dollar company.
Found a fee page. Actually not so cheap -- somewhat cheaper for a tax-exempt organization (say US research institution). If it is a research project, maybe you can find a US academic co-author at a school that has already acquired the db. Another issue: the academic data set has a 36 month delay (the regular data has an 18 month delay). Found more here
Well, good bond data is hard to come by. Michael Bloomberg turned that fact into a multi-billion dollar company.
Re: historical corp bond data?
Excellent info Alan. Thanks for collecting it and posting it here.
But OMG how expensive! The TRACE data from the FINRA site used in the paper costs at least $0.50 per trade!
Sending (large amounts) of money to Bloomberg was indeed something I can't afford. I'm searching for daily updated data without more than 1 day delay, and it's not academic...
If only bonds were exchange traded!
By the looks of it, it won't be easy. I think my best option is to team up with one of the companies I know that have bloomberg terminals and who download this data anyways.
This lack of easy access to data probably hinders research in credit modelling.
But OMG how expensive! The TRACE data from the FINRA site used in the paper costs at least $0.50 per trade!
Sending (large amounts) of money to Bloomberg was indeed something I can't afford. I'm searching for daily updated data without more than 1 day delay, and it's not academic...
If only bonds were exchange traded!
By the looks of it, it won't be easy. I think my best option is to team up with one of the companies I know that have bloomberg terminals and who download this data anyways.
This lack of easy access to data probably hinders research in credit modelling.
Re: historical corp bond data?
Or maybe it's $2000 setup + $2000 annual? That's not cheap but not undoable either.
from here
from here
(1) Professional Fees
Professionals may subscribe for the following:
(A) Persons or Organizations Other Than Qualifying Tax-Exempt Organizations
(i) Set-Up Fee — a single fee of $2,000 for development and set-up to begin receiving Historic TRACE Data.
(ii) Data Fee — $2,000 per calendar year per Data Set for receipt of Historic TRACE Data. (The 2003 Historic Corporate Bond Data Set also includes the 2002 Historic Corporate Bond Data Set. The 2011 Historic Agency Data Set also includes the 2010 Historic Agency Data Set. The 2012 Historic SP Data Set also includes the 2011 Historic SP Data Set. The 2003 Historic Rule 144A Data Set also includes the 2002 Historic Rule 144A Data Set.) Historic TRACE Data is enabled for internal use and internal and/or external display application. Bulk re-distribution of such data is not permitted.
Re: historical corp bond data?
when they sayOr maybe it's $2000 setup + $2000 annual? That's not cheap but not undoable either.
from here(1) Professional Fees
Professionals may subscribe for the following:
(A) Persons or Organizations Other Than Qualifying Tax-Exempt Organizations
(i) Set-Up Fee — a single fee of $2,000 for development and set-up to begin receiving Historic TRACE Data.
(ii) Data Fee — $2,000 per calendar year per Data Set for receipt of Historic TRACE Data. (The 2003 Historic Corporate Bond Data Set also includes the 2002 Historic Corporate Bond Data Set. The 2011 Historic Agency Data Set also includes the 2010 Historic Agency Data Set. The 2012 Historic SP Data Set also includes the 2011 Historic SP Data Set. The 2003 Historic Rule 144A Data Set also includes the 2002 Historic Rule 144A Data Set.) Historic TRACE Data is enabled for internal use and internal and/or external display application. Bulk re-distribution of such data is not permitted.
the fact that they say the 2003 data set includes the 2002 data set suggests to me that when they say "per calendar year" they are not talking about giving you access from now until a year from now but rather are charging you separately for the(ii) Data Fee — $2,000 per calendar year per Data Set for receipt of Historic TRACE Data. (The 2003 Historic Corporate Bond Data Set also includes the 2002 Historic Corporate Bond Data Set.
2016 data, the 2015 data and so on, so 10 years of data would cost you $22k ($2k set-up plus $2k for each of the 10 years)
anyone know for sure?
Re: historical corp bond data?
Ah, yes, you are right. Pff.. That's not peanuts.