Limits of Downloading Intraday Treasury OHLC Price Data

Summary

The document asks where to obtain Treasury prices, rather than yields, in open-high-low-close format, and whether daily midpoint prices can be converted into OHLC or open-close data. The response emphasizes a practical fixed-income data issue: observed prices may be stale, update inconsistently, and fail to reflect market conventions, depending on the source.

The answer says that obtaining usable intraday OHLC data may require access through a bank contact or a specialized provider, and that such data is closely guarded and becomes more expensive at higher frequencies. It does not identify a vendor, provide a download source, or explain a reliable conversion method. Its useful lesson is about data quality and access constraints; a daily midpoint series alone does not supply the intraday extrema needed to construct OHLC bars.

Key ideas

• Treasury price data can be difficult to source in intraday OHLC format.
• Fixed-income quotes may be stale, update inconsistently, or depart from market conventions.
• A daily midpoint series does not contain the intraday highs and lows needed to form OHLC bars.
• The response describes specialized access and rising costs at higher frequencies but gives no specific provider.

Tags

# Where can I download 10 year Treasury prices in OHLC format?


# Where can I download 10 year Treasury prices in OHLC format?












I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download such data. On JPMorgan I can download day by day Mid Prices; those can't be converted to OHLC, or even OC right? Because (at least in equities) the close price of one day is not the open price of the next day, and I assume this is true of bonds as well. Please pardon if this is a simple question, I'm new to quant finance.

## Answer by Bison (score 2)

https://quant.stackexchange.com/a/40434

Welcome to fixed income data problems padawan!

I mean, if you really wanted to, you can convert it. But the problem is the that a lot of these prices are lagged by varying measures with inconsistent updates and inaccurate from market convention prices outside of a few sources.

Only way I've obtained what you are asking for is asking my friend at a bank to hook me up. Data providers guard this stuff zealously and OHLC intraday data is more expensive the higher frequency it is.

ps: what JPM link are you talking about?

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