Can anyone recommend a free or low-cost data source for CTD & pricing information? I know Bloomberg has it, but at $1700/mo, that's a bit steep. 
Free/low cost CTD data source?
- Thread starter FullyArticulate
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Short answer is no. (No, as in I don't know of one. Can't swear it doesn't exist) I am familiar with what bloomberg provides.
How much data do you need and what would you do with it? Do you want (like bbg provides) a list of all the deliverable issues, their basis and implied repo rates? Or do you only need the cheapest issue and it's basis? The factors are available on the CBOT website so you can construct your own spreadsheet with that data. Even bloomberg pricing data is not precise.
How much data do you need and what would you do with it? Do you want (like bbg provides) a list of all the deliverable issues, their basis and implied repo rates? Or do you only need the cheapest issue and it's basis? The factors are available on the CBOT website so you can construct your own spreadsheet with that data. Even bloomberg pricing data is not precise.
The cheapest issue and it's basis would be useful. Certainly figuring out when a new CTD is likely to occur would be valuable.
At the moment, I can get pricing through Schwab for individual treasuries, stuff them in a spreadsheet with the conversion factors, and see what comes out, but that takes quite a bit of time.
Thanks for the response!
At the moment, I can get pricing through Schwab for individual treasuries, stuff them in a spreadsheet with the conversion factors, and see what comes out, but that takes quite a bit of time.
Thanks for the response!