MTS Time Series Data

MTS Daily Cash Data

 

For those interested in traditional fixed income issues the Cash Summary file contains raw as well as processed daily data. It includes information on three price variables (trade price, mid-quote price and yield), two risk variables (modified duration and convexity) and four liquidity variables(total traded volume, average trade size, average bid/ask spread and trade imbalance).

The price variables provide the price for the last executed transaction and posted quote at or before 5pm Central European Time (CET) for each bond in the database. If a bond does not trade before 5pm CET the trade price observation is missing.

For further detailed information on this dataset including parameters of each variable, please see the MTS Time Series Data Definition File.

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