MTS Time Series Data

High Frequency Tick Data

For those interested in market microstructure issues the Fills and Best Proposals files contain information on the trades and the best three quotes that occurred throughout each day for all bonds in the database. In particular, the best proposals file records every submitted quote that improves price and/or size for the top three bid and offer prices in the market.

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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