October 29, 2007
An unsorted, unqualified list of data FAQ’s that are not included in other Data FAQ posts (money market, Funds etc).
The list is dynamic and subject to change without notice.
CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.
NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.
Q1. Does anybody know where I can find data on the historical price of treasury bonds? I know tnx and tyx are charts for the yields, but I’m interested in price. I have etf data that mimics price, but the seriesis not long enough.
A1. Most traders actually trade the bond derivatives – i.e. bond and note futures. We have data on CBOT US Treasury Bond going back to 1978, 5-yearNote futures back to 1988 and 10-year Note futures going back to 1982. It’s not expensive (US$67 for the entire set of futures data).
Futures trading is a whole lot different from tracking a single securitythough. Most back testers use a back-adjustment method to create continuous contracts suitable for back-testing – see http://www.premiumdata.net/support/futurescontinuous.php for more details onhow this works.
Our data is fully compatible with AmiBroker and incorporates the information required for back-testing (margin value, tick values etc.).
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