MTS Time Series Data

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MTS Time Series Data is the richest source of European government bond historical tick data.

The data is directly sourced from the MTS platform providing vendors, practitioners and academics conducting in-depth research in time series and market microstructure of bond markets and instruments with original historical data.

MTS Time Series allows for comparative studies of microstructure, bond tick data and repo markets of several large, mid-size and small European bond markets.

Dating from April 2003, the MTS database contains daily cash & repo information and high frequency trade and quote data, for all bonds traded on the MTS System. Coverage of the database increases along with the planned expansion of MTS into new markets.

MTS Time Series Data offers 4 datasets:

Daily Cash Data

The file contains raw and processed data and includes information on three price variables - trade, mid-quote & yield -, two risk variables - modified duration & convexity - and four liquidity variables - total traded volume, average trade size, average bid/ask spread & trade imbalance.

Daily Cash & Repo Data

In addition to the Daily Cash Data, this dataset provides repo rates and transaction amounts for each instrument, the total value traded in Repo contracts and for the two subcategories of General Collateral and Special Repo contracts.

High Frequency Tick Data

This dataset provides information on the trades and the best three quotes that occurred throughout each day for all bonds in the database. In particular, every submitted quote that improves price and/or size for the top three bid and offer prices in the market.

High Frequency Audit Trail Data

Detailed information on how proposal and orders are matched into trades can be inferred from the Audit Trail files. These files cover six-month period from April to September 2003 for a sample of benchmark bonds, which are representative of different national markets and of different maturity buckets.

MTS Time Series Data enables firms to gain a complete understanding of trends across the European cash and repo markets and build enriched trading strategies and models.

Contact us for more information on MTS Time Series Data.