IHS Markit datasets available via the Data Lake
Daily liquidity metrics, market context and liquidity scores for fixed income instruments. Liquidity data is delivered with our fixed income pricing data and offers insight into the depth and breadth of the market. It helps enhance transparency across fixed income markets and supports changing regulatory and valuation requirements. The data supports risk management, including exit cost analysis and valuation uncertainty, as well as independent price verification, margin calculations, management information reports and portfolio management. It may also serve as an input to regulatory reporting under requirements such as IFRS 13, FASB's ASC Topic 820 (FAS 157), UCITS and EBA's prudent valuation standards.
REST, Python, S3 Proxy, SQL
- MOVING AVERAGE
- LIQUIDITY SCORE
- NUMBER OF DAILY QUOTES
- AVERAGE QUOTES COUNT
- BIDASK SPREAD
- BID PRICE
- ASK PRICE
- AVERAGE TRADE SIZE
- TRADE VOLUME
- DAYS TRADED
|Dataset Name||Dataset Description||Data Format||Publishing Frequency|
|Price Impact and Time to Liquidate||Daily liquidity price impact and time to liquidity metrics by the position size, market impact, liquidity buckets, and assets class.||Parquet||Weekday|
|Trade Metrics by Instrument||Aggregated daily trade data and metrics across multiple asset classes with values broken down by instrument.||Parquet||Weekday|
|Trade Metrics by Organisation||Aggregated daily trade data and metrics across multiple asset classes with values broken down by organization.||Parquet||Weekday|
|Trade Metrics by Sector||Aggregated daily trade data and metrics across multiple asset classes with values broken down by instrument types and sectors.||Parquet||Weekday|
|Quote Metrics by Instrument||Aggregated daily quote data and metrics across multiple asset classes with values broken down per instrument.||Parquet||Weekday|
|Cross Asset Liquidity Score||Instrument level score from 1-5 indicating the liquidity at an individual level and sector level ; calibrated across asset classes.||Parquet||Weekday|
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