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US Treasury Bonds Data

Name: US Treasury Bonds Data
Creator: TraditionData
Published: 2024-04-05
License: https://www.traditiondata.com/terms-conditions/

Comprehensive access to the U.S. Treasury market. Real-time, hourly and end-of-day data that provides unparalleled insight into the largest government bond market in the world.

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SUMMARY

The U.S. Treasury market plays a critical role in the global economy. Market participants worldwide depend upon this marketplace for investing, collateral and hedging, and as a benchmark for pricing other securities.

Tradition offers real-time, hourly and end-of day data for Top of Book and Depth of Book.

360+ total securities/instruments
Off-The-Run Breakdown:
- 80+ 30-year Treasury Bonds
- 15+ 20-year Treasury Bonds
- 40+ 10-year Treasury Notes
- 20+ 2-year Treasury Notes
- 30+ 3-year Treasury Notes
- 50+ 5-year Treasury Notes
- 80+ 7-year Treasury Notes
- 10+ T-Bills
- 7 On-The-Run securities/instruments

Executable, not indicative prices, sourced directly from Tradition’s Global Fixed Income business and market-leading liquidity.
- Real-time with full depth of book. Delivered direct via FIX API.
- Hourly Snaps – Top of Book. Delivered via SFTP.
- End of Day Snaps – Top of Book. Delivered via SFTP.
Historical data up to 7 years
The Gold Standard for data reliability.

Top of Book

Top of Book (TOB) provides the highest bid and lowest ask, with size, for On-The-Run and Off-The-Run bills, notes and bonds across the entire U.S. Treasury curve. TOB provides traders and investors with crucial information about current market sentiment and liquidity for U.S. Treasury securities, helping them make informed decisions about buying or selling.

Depth of Book

Depth of Book (DOB) provides a more robust picture of the market by offering a fuller view of the liquidity and interest in U.S. Treasury securities. This includes the best bid and ask, as well the next multiple levels of bids and asks, with size. This additional view of liquidity is valuable for quants, traders and investors looking to assess market depth and potential price movements in UST securities.

Product Name

FII-BND-AME-UST

Does TraditionData cover all tenors of US Treasury bills, notes and bonds?

How many files are available per day?

11 files per day from 7am-5pm EST
Each file contains data for all on-the-run instruments, plus 350+ off-the-runs.

1 file per day at 5pm EST
Each file contains data for all on-the-run instruments, plus 350+ off-the-runs.

N/A

What is the timestamp precision for the datasets?

Minute

Millisecond

When are files delivered?

On the hour, from 7am-5pm EST and delivered downstream immediately as they are generated.

5pm EST and delivered downstream immediately as they are generated.

Real-time via FIX API

What is the source of the data?

BondsPro ATS via bonds.com

Are sample files available?

Yes, please contact us.

What historical data is available?

7 years (2017)

What is the file format of the historical data?

.csv format

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Key stats

360

Instruments

On-The-Run securities/instruments

years

historical data

BENEFITS

Key benefits

Unparalleled insight into the largest government bond market in the world.

Top of Book and Depth of Book give you access to real executable prices and a comprehensive view of market liquidity.

TraditionData offers real-time, hourly and end-of day data giving you the flexibility to choose the frequency that meet your specific needs.

US Treasury Bonds Data

The U.S. Treasury market plays a critical role in the global economy. Market participants worldwide depend upon this marketplace for investing, collateral and hedging, and as a benchmark for pricing other securities.

Related products

Key stats

Key benefits

A source of knowledge