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Data Spotlight: New Intraday Data for Government Bonds & FX

23 September 2021
By Vera Shulgina

We're excited to introduce two new intraday datasets, now available on the SigTech platform: intraday government bonds and Cboe intraday FX.

We continuously onboard new datasets to the platform and make them available in a validated, cleaned, normalised format; presented in a powerful, user-friendly and unified data layer.


1. Intraday government bond series

The SigTech platform now supports intraday bars (1min, 5min, 10min, 1h) for G10 government bonds and certain derivatives. The data is available as a historical time series for research - as the SigTech backtesting engine supports intraday timestamp by design - and also in live streaming form for production. Refinitiv data acts as a primary source, but clients also have the option to bring their own market data sources into their platform instance via SigTech’s client data onboarding API.

SigTech product manager Niklas Hojman offers an example of a simple US government bond futures strategy using the platform, below. The strategy trades intraday based on the front contract, starting and ending each day flat. It yields a positive return over the last two years of performance.

US Bonds Future Intraday Strategy on the SigTech platform

2. Cboe intraday FX data

The Cboe FX ECN features a diverse, multi-contributor client base, making it a robust source of FX price discovery data. Order book, trade data, and volumes are all now available on the SigTech platform. Cboe FX data is differentiated in that it includes volumes of trades executed over the counter on curated order books. ECN flows are typically representative of activity from institutional market participants (banks, hedge funds, CTAs, asset managers and proprietary traders), which allows traders and portfolio managers to study the behaviors of their peers more closely using this data.

Below is a visual representation of minute-level EUR/USD spot volumes since 2009, highlighting natural momentum-based entry and exit points that may exist for a systematic strategy.

EURUSB Minute Volume Data

Are you interested in any of the data mentioned above or are looking for other sets to help with backtesting and building new strategies? Get in touch to speak with one of our data experts.