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April Data Spotlight

9 April 2021
By Ilya German, Senior Quant

Ilya German, one of SIGTech’s senior Quants unpicks the advantages of three new datasets available to all SIGTech platform users.

SIGTech's next-gen quant trading platform incorporates a wide range of curated market datasets. We have partnered with many of the world’s leading data vendors, exchanges and data aggregators. All datasets available via our platform are validated, clean, normalised and presented in a powerful, user-friendly, unified data layer.

We continuously onboard new data and will regularly highlight some of the latest sets available via our platform.

In this month’s edition, Ilya German, one of SIGTech’s senior Quants with over 20 years’ experience of derivatives and interest rates markets, has unpicked the advantages of three new sets available to all SIGTech platform users:


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1. Swaptions

Many traders will make market predictions for short term interest rate moves by analysing Futures contracts. However, swaptions will provide richer insights of longer-term swap rates moves. Swaptions data allows SIGTech users to analyse interest rate volatility, imply probabilities of movements; and as is the case for regular options, the directional and quantitative views of those moves can be translated into trading strategies. In addition, rolling swaptions straddle allow traders to build strategies that are agnostic to the direction of interest rate moves.

2. Brazilian offshore swaps

The one-day interbank (DI) rate is one of Brazil’s most important interest rate benchmarks but can only be traded by locals via DI Futures on the Brazilian (B3) stock exchange. Since non-residents can’t trade DI Futures directly on the exchange, offshore swaps offer a similar exposure to that of the onshore DI Futures for non-locals. Both are offered as part of SIGTech’s platform - DI Futures as an indicator of potential future Brazilian interest rates moves and the offshore swaps for strategy development and backtesting. The spread between the two could be used as a trading signal as well.

The below graph illustrates the October 2022 DI onshore future history, and the corresponding offshore swap rate (which are very close, but not exactly the same due to the on-off spread)

Brazilian offshore/onshore swaps graph

3. Bond auction and US treasury calendars

These datasets will allow users to better analyse and predict when key bond rates might move. Usually market activity increases on bond auction dates and a better picture of market appetite for government debt can be implied. Strategies can be constructed to benefit from changes in liquidity due to new benchmark bond issues. In addition the dates could be used for signal extraction obtained from interpolated data to better localise any potential jumps.

Are you interested in any of the data mentioned above or are looking for other sets to help build new strategies? Contact us for a live demo, tailored to your chosen datasets, or discuss your data requirements with one of our representatives.