I was wondering if anyone knew whether the quoted prices at IB for bonds are dirty or clean quotes. I am assuming clean which means that at settlement, I pay or receive accrued interest? If that's the case, is there an IB utility to show the exact amount of accrued interest at the time of the quote? Thanks.
IB Bonds
- Thread starter ssrrkk
- Start date
what bond price quotes have to do with interest payments?
and why they have to be somehow 'adjusted' to the interest? specially to accrued interest. never heard of 'dirty' quotes.
you can do it yourself btw..in excel or using online bond calculator . dunno about now,but back in the day IB's YTM was f**d up(like everything else) and i have no choice,but calculate it myself. you should be able to find all calculations functions online.
IB gives you direct access and you get what you see. plain and simple
in your words-the quotes are CLEAN
and why they have to be somehow 'adjusted' to the interest? specially to accrued interest. never heard of 'dirty' quotes.
you can do it yourself btw..in excel or using online bond calculator . dunno about now,but back in the day IB's YTM was f**d up(like everything else) and i have no choice,but calculate it myself. you should be able to find all calculations functions online.
IB gives you direct access and you get what you see. plain and simple
in your words-the quotes are CLEAN
These are standard bond terminology. When you buy a bond, there are usually semi-annual coupon payments. When you approach the coupon date, the bond price should rise to take into account the impending coupon payment, just like how a stock behaves before dividends. Once the coupon is paid, the price jumps back down to its intrinsic value. The difference between that value, and the price between coupon dates is called "accrued interest".
I could be wrong (since I haven't looked IB bond pricing for at least a year or so), but I believe they quote clean as per convention of every trading desk in the world.
If you provide a bond and an IB quote, say (a treasury with a high coupon due in march or sept or some year), I can check whether the px would make sense as with or without accrued.
If you provide a bond and an IB quote, say (a treasury with a high coupon due in march or sept or some year), I can check whether the px would make sense as with or without accrued.
I'm going to guess you never traded a single bond in your life then?....
Quote from Bob111:
i know that,but i never heard of dirty or clean quotes. they are definitely not in my bond's vocabulary..all either future or accrued interest in in YTM(which calculated from current price). i'm wrong?
yep..never in my life...just ask IB's API developers,about some russian guy, who create automated system for corp bonds back in 2005,when IB did introduce direct access to corp bond market..how they hooked me up with journalist from WSJ(who was working on article about automated trading) after that so i can explain him some details..
they should remember me..cause i'm the only guy,who traded bonds at that time with IB.
What a load of nonsense....
I was trading corp bonds on an institutional level in circa 2005; The idea that an automated system can trade off of completely stale and useless IB retail corp bond prices is completely nonsensical.
Corp bond was (and remain to a large extent, still is) very much OTC. It's not possible to do algorithmic trading on it. There's no real electronic market place (marketaxxess is request-for-quote driven, not an order book)
I was trading corp bonds on an institutional level in circa 2005; The idea that an automated system can trade off of completely stale and useless IB retail corp bond prices is completely nonsensical.
Corp bond was (and remain to a large extent, still is) very much OTC. It's not possible to do algorithmic trading on it. There's no real electronic market place (marketaxxess is request-for-quote driven, not an order book)
i guess my english is so bad,that some people can't understand what i was saying...they are unable to see the difference between automated trading and algorithmic,yet trying to teach me..go head,make my day,teach me a lesson..
by automated trading i mean very simple concept-buy without me. search,check quotes,calculate YTM,ratings,YTM of the group,sector etc and if everything fits my criteria-buy. very simple and have nothing to do with algos(maybe it is ,but not the way YOU see it). it was way before all those fancy scans, i wrote it by myself(i'm not pro programmer and not a pro trader). that thing worked just fine for me and at some point my portfolio was around 300 different bonds in it. imo-not bad for average joe..
by automated trading i mean very simple concept-buy without me. search,check quotes,calculate YTM,ratings,YTM of the group,sector etc and if everything fits my criteria-buy. very simple and have nothing to do with algos(maybe it is ,but not the way YOU see it). it was way before all those fancy scans, i wrote it by myself(i'm not pro programmer and not a pro trader). that thing worked just fine for me and at some point my portfolio was around 300 different bonds in it. imo-not bad for average joe..
Yeah, except you are the missing the main part: corp bond prices are extremely unreliable; You know how *real* trading in corp bond is done? You see a quote on your Bloomberg; You then CALL UP the guy (and his competitor) and ask for market; You then figure out who's got the best price, and you say the magical words, "mine," and he says, "you are done on that". And then you guys do a bunch of paperwork together.
Surely you can see how pointless it would be to do even a simple screening "automated" trading strategy.
Not to mention, YTM is a completely inappropriate measure of value for corp bond.
Surely you can see how pointless it would be to do even a simple screening "automated" trading strategy.
Not to mention, YTM is a completely inappropriate measure of value for corp bond.