US Treasury Bonds Data Product Specification

Product Code:

FII-BND-AME-UST (Bonds.com Hourly Snaps – Top of Book – United States Treasury Only)

FII-BND-FIX-UST (Bonds.com United States Treasury, Real-time, full depth of book using FIX protocol)

FII-BND-UST-EOD (Bonds.com EOD Snap Only – Top of Book – United States Treasury)

Description:

Gain comprehensive access to the U.S. Treasury market with real-time, hourly, and end-of-day data, offering unparalleled insights into the world's largest government bond market. The U.S. Treasury market plays a critical role in the global economy. Market participants worldwide depend upon this marketplace for investing, collateral, hedging, and as a pricing benchmark for other securities. Historical data, up to tick-by-tick is available, covering through 2019.

Data Source:

Directly sourced from Tradition’s Global Fixed Income trading desks, our executable prices provide unparalleled liquidity, ensuring accurate and reliable market data.

Delivery Method:

• real-time:Retrieve the current Top of Book (best bid and ask prices and quantities) or the full Depth of Book (all available bid and ask prices and quantities) in real-time through a FIX API integration.
• Hourly:Receive hourly snapshots of the top of the book delivered via SFTP.
• end-of-day:Obtain end-of-day snapshots of the top of the book delivered via SFTP.

Data Frequency:

The market data is updated in real-time, sourced directly from a variety of fixed income trading platforms.

Data Format:

CSV files for hourly snaps and FIX API for Real-time.

Data Coverage:

• Asset Class: Fixed income
• Sub Class: Goverment bonds - U.S. Treasury

T-Bills Only

• Full Coverage (Pricing for 4, 6, 8, 13, 17, 26, 52-week)
• ~50 securities at a given point in time from 2-3 active providers
• Update Freq: Updates are sporadic. Ranges from every second to quite infrequent at times (1-2 updates/hr.).
• Real-Time Data: Yes. Delivered via FIX feed.
• Historical: Bonds.com is currently compiling the past 2 years: 2023 data now available. 2024 currently being compiled.

US Treasury Notes/US Treasury Bonds

• Full Coverage (Pricing for 2, 3, 5, 7, 10, 20, 30 YR Tenors) No Other Tenors Issued by US
• Total On-The-Run + Off-The-Runs being Quoted today ~350 securities
• Update Freq:The On-The-Runs are very active. Avg. ~5 updates/sec. 20+ updates/sec at times. The Off-The-Runs update less frequently and are quoted by a smaller pool of providers.
• Real-Time Data: Yes. Delivered via FIX feed.
• Historical Data:Coverage going back 5+ years.

US Treasury Inflation Protected Securities

• Full Coverage (Pricing for 5, 10, 30 YR Tenors)
• Total On-The-Run + Off-The-Runs being Quoted today ~53 securities.
• Update Freq:Update Freq: Updates are sporadic. Ranges from every second to quite infrequent at times (1-2 updates/hr.).
• Real-Time Data: Yes. Delivered via FIX feed.
• Historical Data:Not Available at this Time.

Off-The-Run UST Tenor Types	Total
2−year Treasury Notes	20+
3−year Treasury Notes	30+
5−year Treasury Notes	50+
7−year Treasury Notes	80+
10−year Treasury Notes	40+
20−year Treasury Bonds	15+
30−year Treasury Bonds	80+

Tradition Data Packages:

Product Code	Product Name
FII-BND-UST-EOD	Bonds.com EOD Snap Only - Top of Book - UST United States Treasury
FII-BND-AME-UST	Bonds.com Hourly Snaps - Top of Book - UST United States Treasury only
FII-BND-FIX-UST	Bonds.com UST United States Treasury , Real-time, full depth of book using FIX protocol
FII-BND-GLO-EOD	Bonds.com EOD Snap Only - Top of Book - Global
FII-BND-GLO-ALL	Bonds.com Hourly Snaps - Top of Book - Global
FII-BND-FIX-GLO	Bonds.com Real-time, full depth of book using FIX protocol - Global

FAQ:

Question	Answer
What historical data is available?	7 years (2017)
What is the source of the data?	BondsPro ATS via bonds.com
What is the timestamp precision for the datasets?	Minute for snap file and Millisecond for real-time
How many snap files are available per day?	11 files per day from 7am-5pm EST

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