MTS Time Series Data – Tick-by-Tick Data
Wednesday, 10 March 2010 10:07 GMT
Direct from the MTS platform, MTS Time Series provides a high frequency, tick-by-tick data source for practitioners and academics conducting in-depth research in time series and market microstructure of fixed income markets and instruments and is available via subscription. Current subscribers include the worlds leading financial and academic institutions.
Dating from April 2003 the MTS database contains daily cash and 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 - new MTS Markets are automatically included in the generation of MTS Time Series Data.
The MTS database allows for comparative studies of the microstructure, bond time series and repo markets of several large, mid-size and small European bond markets.
There are four datasets available for subscription.
- Daily Cash Data
- Daily Cash & Daily Repo Data
- High Frequency Tick Data
- High Frequency Audit Trail Data
The Cash Data and the High Frequency Tick Data is organised into six files and the Repo Data is arranged into two additional files. Each dataset contains the Cross Sectional Data and Market Calendar files. To simplify the data archiving process, each file name ends with the first three letters of the month and the last two digits of the year that the data refers to.
For information on how often these files can be updated, to receive a sample dataset or for more information on MTS Time Series, please register on this page.
Alternatively, for information on how to subscribe to MTS Time Series, including costs, please visit this page to download an order form and for subscription instructions.
Figure 1. MTS Time Series Database Products
