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I wish I could get some rest API and websockets into the debt and credit default swaps market, really inefficient markets that reveal a lot about sentiment don

I wish I could get some rest API and websockets into the debt and credit default swaps market, really inefficient markets that reveal a lot about sentiment don't need high frequency at all, just pretty average latency actually (for now anyway) IB probably has this, not sure though. But those data costs are a huge deterrent for me!

whatok 10y ago
I think DTCC has some freely available live CDS data but I forget where and don't know how the APIs are.
sseveran 10y ago
CDS and debt are not really inefficient markets. Some bonds are less liquid than others but there is currently a rapid conversion to electronic trading going on. CDS is also a very mature market. Not saying that those markets don't contain signal but they are not very inefficient.
- cloudjacker 10y ago
  You're right, I would primarily like to see them more liquid so that there were more data points to extrapolate moves across different asset classes
  - sseveran 10y ago
    What you really want is more transparent data. There are plenty of data points but they are not easily accessible.
    - cloudjacker 10y ago
      and I think the lack of this perpetuates market inefficiencies. I think insights into CDS can be a leading indicator into equities and equity futures, yet CDS are restricted to OTC markets in the US anyway, I'm sure this is its own discussion
      - sseveran 10y ago
        CDS isn't an OTC instruments. Swaps are now traded on SEFs like MarketAxess or TradeWeb. Just because you don't have access to the data don't think that professionals don't. But this isn't OHLC data for listed equities. Expect to pay. Actually high quality realtime equity data (ITCH,PITCH,OpenBook Ultra,etc...) costs real money as well. Checkout CDS and FI market data offerings: https://www.marketaxess.com/data/marketdata.php https://www.marketaxess.com/data/marketdata.php But your idea is correct. CDS Spreads can be predictive of dramatic shocks in an equities price.
        cloudjacker 10y ago
        That is awesome Yeah i get the promise: professionals do this, pay a premium for that Until they don't because someone provides the data for free or next to nothing In this town we call it disruption
        infinite8s 10y ago
        Who's going to provide that data for free when they can charge a LOT of money for access to it. Ever notice why free data on Google or Yahoo are 15 min delayed?
        cloudjacker 10y ago
        I know what the exchanges charge for data access, and even if you pay it is in an antiquated format. Tradier has been providing equity and option tick data for free for years in a clean RESTful API with the capability of websockets and streaming. So thats the answer to your question of who. Like I said, in this town we call it disruption.
        sseveran 10y ago
        Thats part of their business model. I have not used their data but I can tell you that all tick data is not created equally. We are unlikely to ever see CDS data for free since individuals cannot trade them as most retail investors are not Eligible Contract Participant. Some brokerages give away data to get people to trade with them so there its about customer acquisition.

whatok 10y ago

I think DTCC has some freely available live CDS data but I forget where and don't know how the APIs are.

sseveran 10y ago

CDS and debt are not really inefficient markets. Some bonds are less liquid than others but there is currently a rapid conversion to electronic trading going on. CDS is also a very mature market. Not saying that those markets don't contain signal but they are not very inefficient.

cloudjacker 10y ago
You're right, I would primarily like to see them more liquid so that there were more data points to extrapolate moves across different asset classes
- sseveran 10y ago
  What you really want is more transparent data. There are plenty of data points but they are not easily accessible.
  - cloudjacker 10y ago
    and I think the lack of this perpetuates market inefficiencies. I think insights into CDS can be a leading indicator into equities and equity futures, yet CDS are restricted to OTC markets in the US anyway, I'm sure this is its own discussion
    - sseveran 10y ago
      CDS isn't an OTC instruments. Swaps are now traded on SEFs like MarketAxess or TradeWeb. Just because you don't have access to the data don't think that professionals don't. But this isn't OHLC data for listed equities. Expect to pay. Actually high quality realtime equity data (ITCH,PITCH,OpenBook Ultra,etc...) costs real money as well. Checkout CDS and FI market data offerings: https://www.marketaxess.com/data/marketdata.php https://www.marketaxess.com/data/marketdata.php But your idea is correct. CDS Spreads can be predictive of dramatic shocks in an equities price.
      - cloudjacker 10y ago
        That is awesome Yeah i get the promise: professionals do this, pay a premium for that Until they don't because someone provides the data for free or next to nothing In this town we call it disruption
        infinite8s 10y ago
        Who's going to provide that data for free when they can charge a LOT of money for access to it. Ever notice why free data on Google or Yahoo are 15 min delayed?
        cloudjacker 10y ago
        I know what the exchanges charge for data access, and even if you pay it is in an antiquated format. Tradier has been providing equity and option tick data for free for years in a clean RESTful API with the capability of websockets and streaming. So thats the answer to your question of who. Like I said, in this town we call it disruption.
        sseveran 10y ago
        Thats part of their business model. I have not used their data but I can tell you that all tick data is not created equally. We are unlikely to ever see CDS data for free since individuals cannot trade them as most retail investors are not Eligible Contract Participant. Some brokerages give away data to get people to trade with them so there its about customer acquisition.