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EOrion
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Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 14th, 2008, 6:24 pm

I am trying to simulate a trading strategy on the yield curve and I need to find intraday history for points along the curve.Ideally I'd like to go beck to early 1990's.I'm an equity person by training and I must be looking in the wrong places, because I would have thought bond pricing data would be easyto acquire ( I'm looking for about 20 points from 1 week to 30 year and I'd settle for hourly prices if tick wasn't available).I'd happily settle for a proxy hourly price on strips as well.Thanks
 
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SirJamesCook
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Joined: February 21st, 2008, 1:38 pm

Intraday Gov Bond prices

April 15th, 2008, 4:57 am

did you try on bloomberg?
 
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EOrion
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Posts: 57
Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 15th, 2008, 5:19 pm

I believe its limited
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Intraday Gov Bond prices

April 16th, 2008, 8:38 am

you can't get intraday price for bonds because the bonds have a maturity, it is't an equity.
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Intraday Gov Bond prices

April 16th, 2008, 9:18 am

How do you mean you can't get intraday prices? I can for sure...I don't know of any good free sources. One possible source that had been mentioned already is BBG or Reuters; another would be a place like TradeWeb. I'd also guess that, if you're looking at EUR or GBP and are willing to pay, you could get the tick data from MTS and LIFFE. I'm sure there are similar providers for US bonds, but I don't know their names.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Intraday Gov Bond prices

April 16th, 2008, 11:34 am

you can' t get tick price from 1990 because the bond must be auction if you have bloom or reuters you can get tick price for "standard" price from the contributors till the life of the bond.
 
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EOrion
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Posts: 57
Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 16th, 2008, 11:48 am

ok let me rephrase the problem.For USD Gov yield curve:Do any vendors have strip prices at multiple curve points in a granularity higher than end of day "prices"
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Intraday Gov Bond prices

April 16th, 2008, 12:08 pm

The answer is an emphatic yes, although how far back the time series that you can get from a particular provider goes, I don't know... I would recommend talking to TradeWeb, personally, as I know they have intraday data for US guvvies.CE, I have no idea what you mean...
 
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EOrion
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Posts: 57
Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 16th, 2008, 1:15 pm

Thanks.
 
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DominicConnor
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Joined: July 14th, 2002, 3:00 am

Intraday Gov Bond prices

April 17th, 2008, 2:54 pm

you can't get intraday price for bonds because the bonds have a maturity, it is't an equity.Not sure what this means.In my last job my stuff produced them, and they were traded, and so-called "Government of Britain" uses my s/w to this very day.Actually I don't see how anything can fail to have intra day pricing, how could it be traded ?A big difference between bond trading and classical equity trading is that many bonds are illiquid, some are very illiquid.The "price" you see quoted is frequently derived from some combination of spreads vs treasury, futures prices, and some function of "similar" bonds.It's indicative, especially for corporates.Firm prices are harder to get in volume, and spreads are both higher and more variable.Backtesting presents various challenges, even when you have data.Even for the relatively liquid government stocks (not all are liquid) the quote is typically for limited volume.Ticks of buy/sells are better but of course more sparse, and it is the case that just because you saw a trade, does not mean you could have done it.Cantors have this data, but they'd want money for it, indeed market data is a good % of their business.
Last edited by DominicConnor on April 16th, 2008, 10:00 pm, edited 1 time in total.
 
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EOrion
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Posts: 57
Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 17th, 2008, 4:52 pm

I agree with everything you say.That said, I am not looking for corporates but US gov Strips etc.I was under the impression that the US Gov bond market (bills notes etc) isfairly active, even off the run.
 
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EOrion
Topic Author
Posts: 57
Joined: April 11th, 2008, 4:06 pm

Intraday Gov Bond prices

April 17th, 2008, 4:54 pm

BTW for my needs, indicative is fine. I am using them for approximation anyway.
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Intraday Gov Bond prices

April 17th, 2008, 5:24 pm

In addition to TWeb, you can also try BrokerTec, eSpeed, GovPX (which is ICAP) and places like that...DCFC, so you lent the "so-called DMO" a helping hand? Now I know who to blame for all the shenanigans in the Gilt mkt... And here I thought it was just 'cause GEMMs prefer to spend quality time at the pub instead of in the mkt Just kidding, mucho respect to you!
Last edited by Martinghoul on April 16th, 2008, 10:00 pm, edited 1 time in total.
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