MTS Time Series Data

High Frequency Audit Trail Data

Detailed information on how proposals and orders are matched into trades can be inferred from the Audit Trail files. These files cover the six-month period from April to September 2003 for a sample of benchmark bonds, which are representative of different national markets and of different maturity buckets.

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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