EGBs Cash Tick-by-Tick 10+ Years of Historical Data

The MTS EGBs Cash Tick-by-Tick - Historical Archive (2011 to Purchase Date) is the ultimate dataset for European Government Bonds (EGBs), delivering a fixed, tick-level repository of trading data from the MTS Cash Central Limit Order Book, spanning January 2011 up to the date of purchase. With peaks of ~100 million rows, this comprehensive archive captures every new and changed price, aggressive orders (fill-and-kill, all-or-nothing), and trade-by-trade cash fills. Sourced from MTS, the gold standard for EGB data, it empowers quants, researchers, and compliance teams to backtest trading strategies, analyze long-term market trends, and ensure regulatory compliance with unmatched fidelity.Key Features:

- Historical Daily Files: Access to 5 daily files.
- Coverage: Full depth of the Order Book.
- Content: Includes Proposals (Complete tick-by-tick data from order book), Fills (All cash trades on trade-by-trade basis), Orders (Aggressive Orders (FAK, AON)), Bond Reference data, Market Calendar data detailing information on trading holidays.

Unlike the MTS EGBs Cash Tick-by-Tick - Continuous Subscription, which provides a rolling historical feed starting from the subscription date and growing with ongoing trades, this historical archive delivers a complete, fixed dataset from January 2011 to the purchase date (e.g., buy on May 1, 2025, get 2011 to April 30, 2025). Tailored for deep retrospective analysis, regulatory audits, and academic research, it enables users to explore over 13 years of billions of ticks to uncover market turnover patterns, assess historical volatility, or build robust financial models. For data beyond the purchase date, the Continuous Subscription is required. Dive into a comprehensive EGB market history with MTS’s trusted data quality.

原始信息汇总

EGBs Cash Tick-by-Tick 10+ Years of Historical Data

概述

• 数据集名称: EGBs Cash Tick-by-Tick 10+ Years of Historical Data
• 提供商: MTS
• 价格: $67,500 every 3 years
• 试用: 3 queries for free
• 时间覆盖范围: 2011年至购买日期
• 数据刷新频率: Daily
• 地理覆盖范围: 包括塞浦路斯、以色列、奥地利等16个国家

关键特性

• 历史每日文件: 提供5个每日文件。
• 覆盖范围: 完整的订单簿深度。
• 内容: 包括提案（订单簿的完整逐笔数据）、成交（所有现金交易的逐笔数据）、订单（激进订单（FAK, AON））、债券参考数据、市场日历数据（详细说明交易假日信息）。

业务需求

• 量化分析: 回溯测试交易策略，使用2011年1月至购买日期的逐笔EGB数据验证量化模型。
• 长期市场分析: 研究债券市场趋势、流动性和定价动态。
• 监管合规: 审计2011年至购买日期的历史交易，确保符合欧盟金融法规。
• 学术和行业研究: 分析EGB市场演变，支持市场结构、波动性或政策影响的研究。

数据字典

PROPOSALS

• MARKETCODE: Varchar
• REFDATE: Varchar
• UPDTIME: Varchar
• UPDTIMEMSEC: Varchar
• ENDTIME: Varchar
• ENDTIMEMSEC: Varchar
• BONDCODE: Varchar
• BONDTYPE: Varchar
• CHECK_LOGON: Varchar
• STATUS: Varchar
• BIDPRICE: Varchar
• BIDQTY: Varchar
• BIDEBMQTY: Varchar
• BIDDOMQTY: Varchar
• ASKPRICE: Varchar
• ASKQTY: Varchar
• ASKEBMQTY: Varchar
• ASKDOMQTY: Varchar
• BIDYIELD: Varchar
• ASKYIELD: Varchar
• PROPOSALID: Varchar
• QUOTINGSIDE: Varchar

使用示例

检查历史订单簿活动以进行回溯测试

sql SELECT REFDATE, UPDTIME, BONDCODE, QUOTINGSIDE, CAST(ASKPRICE AS FLOAT) AS ask_price, CAST(ASKQTY AS FLOAT) AS ask_quantity, CAST(BIDPRICE AS FLOAT) AS bid_price, CAST(BIDQTY AS FLOAT) AS bid_quantity FROM public.proposals WHERE REFDATE = 06/09/2024 AND STATUS = 1 ORDER BY UPDTIME, UPDTIMEMSEC;

评估历史日的价格波动

sql SELECT BONDCODE, STDDEV(CAST(ASKPRICE AS FLOAT)) AS ask_price_volatility, STDDEV(CAST(BIDPRICE AS FLOAT)) AS bid_price_volatility, COUNT(*) AS proposal_count FROM public.proposals WHERE REFDATE = 06/09/2024 AND STATUS = 1 GROUP BY BONDCODE ORDER BY ask_price_volatility DESC LIMIT 5;

审计历史日的提案以进行合规性检查

sql SELECT REFDATE, UPDTIME, BONDCODE, QUOTINGSIDE, CAST(ASKPRICE AS FLOAT) AS ask_price, CAST(ASKQTY AS FLOAT) AS ask_quantity, CAST(BIDPRICE AS FLOAT) AS bid_price, CAST(BIDQTY AS FLOAT) AS bid_quantity, STATUS FROM public.proposals WHERE REFDATE = 06/09/2024 AND BONDCODE = FR001400QCA1 AND STATUS = 1 ORDER BY UPDTIME, UPDTIMEMSEC;

云区域可用性

AWS

• Asia Pacific (Mumbai)
• Asia Pacific (Osaka)
• Asia Pacific (Seoul)
• Asia Pacific (Singapore)
• 35 More

联系方式

• 销售: [e-mail]
• 支持: [e-mail]

关于MTS

MTS是欧洲固定收益市场的核心，提供超过35年的电子固定收益平台服务，每日交易量超过2200亿欧元。作为Euronext集团的一部分，MTS利用Euronext的多样化产品供应和广泛的地理覆盖范围。