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Finding Historical Bond Trade Prices in Fragmented EU Markets

Article Quant Q&A · Author: Rangga Putra Pertama
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Summary

The document addresses how to obtain bond prices for calibrating a Hull–White interest-rate model when historical yields are available but historical prices are needed. It points to public, machine-readable reporting of some EU bond quotes and trades following MiFID II, including a trade publication venue that could supply recent observations. The proposed approach is to collect data over time, either by automated retrieval or repeated manual downloads, and build a dataset for analysis.

The guidance is limited: the cited venue appears to retain only a short history, and its coverage is not exhaustive. Bond transaction information is spread across multiple sources, a fragmentation issue that also affects market makers. The response suggests asking an academic advisor or checking institutional data access as another avenue, but gives no specific additional provider or detailed procedure for constructing clean historical price series. Researchers should therefore treat the venue as one possible source rather than a complete market record.

Key ideas

  • EU trade reporting can make some bond transaction data publicly available in machine-readable form.
  • A researcher can accumulate recent observations over time to build a bond price dataset.
  • The suggested publication venue has limited historical coverage and may not represent the full market.
  • Bond data fragmentation means multiple sources or institutional access may be needed.

Tags

Fixed incomeDerivatives pricingMarket microstructure
Full text
# Getting Bond Price Data


# Getting Bond Price Data












I am on my thesis about Hull-White model and I need the bond price to calibrate the parameters. How can I get historical bond price data instead of historical bond yield data?

## Answer by StackG (score 1)

https://quant.stackexchange.com/a/59393

Since MIFiD 2 came into force (2018 from memory), many bond quotes/trades in the EU need to be made publicly available in machine-readable form.

One of the venues for some of this information is the TRAX APA: https://www.traxapa.com/apa-publication/index.html#/trades

It doesn't have historical data beyond a certain timeframe (maybe 1 day?), but you could scrape this data for a short period of time, or even manually download it a few times a day, and build up an interesting bond pricing dataset.

This probably isn't exhaustive and there are other similar venues - this is data fragmentation one of the problems bond market makers face!

## Answer by Chris (score 0)

https://quant.stackexchange.com/a/49326

talk to your advisor or cohort regarding sources available through your school.

else: What data sources are available online?

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.