rickyvic
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Anybody knows about g10 cash government bond electronic venues, which ones are good, bad, etc.
I heard bbg has a lot of volume and should offer api.
Any pointers?
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"amicus Plato sed magis amica Veritas" |
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steevo
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| TMC Bonds and BondPoint (both acquired by ICE and still in the integration stage) are the best platforms for this. BondPoint is an aggregation platform acting as a middleman between small trading entities and the main liquidity providers (mostly investment banks) for OTC products. They are not full service brokers...you would still need to find a clearing firm (many smaller clearing firms and RIAs use BondPoint as their fixed income execution platform and white label it) (if you are over 3mm AUM, i think interactive brokers has IB Prime which should be able to integrate with BondPoint....execute with BondPoint and clear at IB). if you have enough AUM (50mm+), then you would just prime broker with a firm that has decent pricing and just use their trading desk for simplicity. |
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TonyC
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| Nuclear Energy Trader |
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| OpenDoor Trading is a platform specializing in off the run Treasuries, decent api and volumes |
flaneur/boulevardier/remittance man/energy trader |
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rickyvic
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Thanks steevo much appreciated, I figured most have been acquired by ICE and Euronext. Although a lot of the business happens on bbg some told me, so I was curious....
I have a prime of prime arrangement, around 10 mln initially.
I am not sure I understand the last paragraph, if I just trade against a desk that pools liquidity I will pay fees and be exposed to them only (they will price whatever they want) not ideal especially if size grows.
Apart from ways to arrange lines and so on I was mainly interested in where most trades happen, like a ranking by volumes, obviously having an anonymous orderbook would be an advantage but I could mix rfq with order book dealing.
@tonyc interesting thanks
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"amicus Plato sed magis amica Veritas" |
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rickyvic
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| Interesting thanks |
"amicus Plato sed magis amica Veritas" |
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prikolno
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| I'm guessing NEX (BrokerTec), NASDAQ (former eSpeed), Tradeweb, then Fenics UST? |
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rickyvic
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What about European government bonds? I am trying to cover G10 as much as possible, looking at the futures market it should be possible to do US, EU (France, Italy, Germany), UK, Australia (possibly).
Tradeweb covers all not sure if liquidity is that great for all of them, will check.
I think for US treasuries we covered most of the liquidity with the ones mentioned.
One more question, when you borrow a bond through a PB, does the PB charge a rate that he wants or can one deal directly with a repo desk. My guess is that by default the repo desk you face is the PB's automatically.
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"amicus Plato sed magis amica Veritas" |
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Kitno
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| And MTS for European govies. |
"Yeh, after that blow out I bid the bonds at 76 and you hit man...You're 77/81 now? Cool man...What? Do I care at 80? No mate... I'm 73 bid now...I'm sure you didn't just load up just for me...". |
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rickyvic
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I am worried about the fees these platforms charge.... I looked at publicly available fee schedules and some are scary like 5 bucks per bond traded.
Bondesk I guess wants to get paid for the retail flow... |
"amicus Plato sed magis amica Veritas" |
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rickyvic
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Now the big question is how to source historical data from one of these venues.... Data request?? ;-)
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"amicus Plato sed magis amica Veritas" |
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Kitno
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rickyvic: I looked at publicly available fee schedules and some are scary like 5 bucks per bond traded.
Can you share these? It doesn't make sense. I haven't looked at fee schedules in a few years but rates/govies cash trading is usually quoted in X cents, where 1 cent is $100 per $1MM (sometimes called bps in cash govie land instead of cents, as opposed to credit land where bps are basis points running in a yield metric). |
"Yeh, after that blow out I bid the bonds at 76 and you hit man...You're 77/81 now? Cool man...What? Do I care at 80? No mate... I'm 73 bid now...I'm sure you didn't just load up just for me...". |
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rickyvic
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Taken from Interactive brokers only one publishing it, so I am guessing dealing thorough a PB or talking to the platform with a certain volume might make a difference.
This info might even be wrong and they charge while they should really not.
I will go to each platform website to check, not going to my PB yet because they might behave like IB who knows.
NYSE Bond Fees
Description Add Liquidity 1 Remove Liquidity 2
1 to 10 bonds 0 USD 0.50 per bond
11 to 25 bonds 0 USD 0.20 per bond
> 25 bonds 0 USD 0.10 per bond
BondDesk Fees
Description Add Liquidity 1 Remove Liquidity 2
Agencies
12 - 24 months to maturity USD 0.25 per bond USD 5 per trade
> 24 months to maturity USD 0.50 per bond USD 5 per trade
Treasuries
12 - 24 months to maturity USD 0.15 per bond USD 5 per trade
> 24 months to maturity USD 0.25 per bond USD 5 per trade
T-bills USD 2.50 per trade USD 5 per trade
Euronext Bonds External Fees
Exchange Fee
Trade Value Fee Minimum
All Bonds 1 0.0425% * Trade Value EUR 2.00 per Order
Clearing Fee
Product Group Fee
All EUR 0.10 per trade
Notes:
Settlement fees are currently set at 0.00; however this is subject to change.
Quoting surcharge determined at end of day for customers whose order/trade ratio exceeds 5:1. Only new orders and modifications but not order cancels will count in the ratio.
For example: 4 orders, each modified once, resulting in 1 execution total -> charge of EUR 6 (3*2 EUR).
IB calculates external fees based on trade value. Trade value is defined as Nominal*PriceInPercent/100. |
"amicus Plato sed magis amica Veritas" |
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rickyvic
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NYSE is free and you get rebates to provide liquidity
https://www.nyse.com/markets/bonds/trading-info
however there is a 3k per month fee for first connection (1000 msgs per sec).
Bonddesk is now tradeweb I had troubles finding the schedule of fees.
Euronext
https://www.euronext.com/sites/www.euronext.com/files/euronext_cash_markets_trading_fee_guide__effective_04february2019.pdf
2.5 BONDS
The fee policy for Bonds, including Short-Term Debt Securities, is as follows:
2.5.1 Order fee
A fixed fee per order is charged for members with an order/trade ratio above five.
In addition to the order/trade ratio, a fixed fee of €2 per order is charged for members sending orders with
a nominal size below €40 000 flagged under “House” account type, on bonds traded in a Continuous
trading mode.
2.5.2 Trade fee
Bond trades are charged as a percentage of the net amount per daily executed order (please note that an
order executed in two or more trades on the same day represents one executed order). The monthly
turnover will also be taken into account to determine the fee structure to be applied.
FEE STRUCTURE FOR BONDS TRADED ON EURONEXT’S REGULATED MARKETS
ORDER FEE – PER DAILY EXECUTED ORDER
Order / trade ratio ≤5 >5
Applicable fee per order No charge €2 (fixed fee)
TRADE FEE – PER DAILY EXECUTED ORDER
Monthly Turnover in m€ Charge on turnover Minimum fee per executed
order
Bracket 1 <= 10 4.25 bps €2
Bracket 2 >10 - <= 20 3.50 bps €1.50
Bracket 3 >20 - <= 40 1.35 bps €1.05
Bracket 4 > 40 1.30 bps €1.05
Bond trades are charged according to the corresponding bracket. If an executed order falls in between the
brackets, the lower bracket fees will be applicable.
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"amicus Plato sed magis amica Veritas" |
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rickyvic
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Update:
aggregated liquidity from both prime and prime of prime brokers is a very straightforward way to deal if you are not latency sensitive, it is also very much cost effective.
If you are latency sensitive the cost of connecting with each venue can be expensive and intensive in terms of development
What is really hard to obtain is historical data, they are really expensive and you need to get the full tape to get an idea of your bidask and slippage.
Any idea in this space appreciated.
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"amicus Plato sed magis amica Veritas" |
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prikolno
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| Good thread, thanks for the info, nothing much to add that you don't already know. |
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anonq
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| historical nyse bond data is only 1k a month for 12 months then 500/month.. that's practically free for exchange data.. gotta pay up and then capture live data going forward |
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rickyvic
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| 12k for a year of history is not cheap... especially if you sample a few times a day, although to backtest with some reason you need a few levels of the book |
"amicus Plato sed magis amica Veritas" |
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anonq
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| it is relative to my market data bill... but pretty much have to pay up unless you can find a friend that has it already to give it to you |
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rickyvic
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| Total Posts: 186 |
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Interactive brokers has a lot of venues and I am guessing a lot of data, although I do not fully understand how much can i download.
Also Bloomberg has its own reference data, can anybody check if they have bidoffer and how much history? I think it would enrich the thread with info. |
"amicus Plato sed magis amica Veritas" |
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rickyvic
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| Total Posts: 186 |
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I have a question on the "hard to borrow" topic. I would like to check not only the liquidity (bidask spread should tell) but also if one can actually get into a short position, what are the operational issues involved, especially being behind a prime broker (meaning that they decide where you borrow your bonds from, e.g. them).
Looking for real world situation like during credit crunch events or so.
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"amicus Plato sed magis amica Veritas" |
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