Historical Data Anyone??

Discussion in 'Data Sets and Feeds' started by jfut, Jun 14, 2011.

  1. jfut



    I was wondering if anyone knows a decent supplier of historical index data for the 30 year, 10 year and 5 year Treasuries (not the futures data)? I've contacted the CME Group but they weren't much help.

    I basically need 30 minute OHLC data for the above Treasury indexes dating back 20/30 years or so, preferably in CSV format.

    Your help would be much appreciated.

  2. Try bloomberg. This is an interbank market. CME has nothing to do with cash bonds.
  3. bone

    bone ET Sponsor

    Order data from the CQG data factory for the GovPix. They will ship it to you on CD, or alternatively they will email it to you in a Zipped File Folder. You will probably have to specify cleaned data in an ASCII format or something similar dependent upon what you want to do with it.
  4. jfut


    Thanks guys, really appreciate the help.
  5. I've used CSI data for 15 years. Great prices and clean data.

    Welcome to CSI, the world's leading supplier of accurate daily updates of O-H-L-C-V-OI data on world markets complete with official day volume and open interest statistics, and historical market prices reaching back over 60 years. Daily updates on futures, options, stocks, and cash prices are supplied via the Internet after daily market closings. Coverage includes all commodity markets traded worldwide and western world stock markets. 99% of the markets extend from the first day of trading. Users are attracted to CSI because of our reputation & unparalleled scope, accuracy, and longevity. We supply summary data to Google, Yahoo!, Microsoft, and hundreds of other resellers who capture daily info through a File Transfer Protocol (FTP). CSI is ranked #1 in the world for accuracy. That study involves all known vendors of market information.

  6. I think your efforts are best served in multicharts.

    Producing a usable database is maybe half the battle. I recommend esignal formatted datasets however I do not know which vendor, which have continuous and individual contracts, however, I think they run $500 per month for everything, but your data real time would be about $30-$50, and some real time activation charge.