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Well - there's a difference between using a real time bid/ask data feed for
cash market pricing (I use one in the treasury market when I'm
buying/selling) - and using one to try to construct some kind of trading
system (the latter is kind of impossible IMO - unless you're talking about
someone with an eight-eleven figure MBS portfolio). If a fairly normal
person - like me - not an institutional manager - is really interested in
trading things that have to do with the MBS market - as opposed to
investing/hedging - then he's probably best off looking at the primary
treasury futures markets (everyone knows that when the 10 year hits X - the
MBS guys will sell the 10 year note and buy the MBS stuff - and when the 10
year hits Y - they'll do the opposite). FWIW - this isn't anything I do
personally - but I do a lot of work with bonds - and I do follow the MBS
markets versus treasuries because it gives me an insight into times when it
might be good to buy or sell bonds.
Also note that if you get pricing off DTN - it's probably just bid/ask prices
- not trading prices. Even if you could import them into a trading program -
they'd be kind of worthless - because what you're looking for when you a
create a trading system is the prices at which securities actually sell. I
don't use bid/ask prices for anything other than placing trades. When I'm
working on bond systems (and my work is mostly intermediate ---> longer term)
- I use things like the continuous tbond and muni bond futures - yields on
the benchmark issues - prices of zero coupon bond funds - the DJ bonds - etc.
- all of which contain closing prices - not merely bid and ask numbers.
Robyn
Kevin Lee wrote:
> Just for the record, DTN offers MBS prices as well as real time treasury
> quotes from a primary dealer. Currently these quotes can not be exported
> into TS but hopefully that will be changing ...
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