With the recent decommissioning of the IEX Cloud market data service, I was searching for a new market data provider for my individual use. There are a lot out there with different offerings and price points. I put together the attached excel of all the options and summary of their offering and prices. Market Data … Continue reading Market Data for Providers Individuals
Author: Ryan Sheftel
Data Store Speed Comparisons
Objective Determine the best data store file format for storing, updating and retrieving financial market data. The typical process would be to retrieve a complete trading days minute bars at the end of the day, append those to the existing data set, and then retrieving the data for analysis. The tests look to mimic the … Continue reading Data Store Speed Comparisons
Can NFT replace ABS
Thinking about NFT (non-fungible tokens) I realize that they are a lot like Asset Backed Securities, or Mortgage Backed Securities, or any similar structured finance securities. What are ABS? They are certificates that represent ownership in a pool of assets. The assets are not physical, they exist only as entries in a computer. Whether it … Continue reading Can NFT replace ABS
The Fed Agrees?
San Francisco Federal Reserve CEO, Mary Daily, said (according to Reuters, I can not find the original speech/text the article is referencing): https://www.reuters.com/article/usa-fed-daly-idUSL1N2M828L "She raised a number of potential fixes, including creating a standing repurchase facility to backstop markets during times of stress, expanding trading platform access to more entities, and using central clearing for … Continue reading The Fed Agrees?
How US Treasuries Clear
DISCLAIMER: I was a member of the NY Fed TMPG committee that authored this paper. The opinions expressed here are mine and mine alone. They are not associated with any employer of mine or organization I am associated with. In 2018 the Treasury Market Practices Group (TPMG), which is a group of industry professionals sponsored … Continue reading How US Treasuries Clear
Papers on the US Treasury Market Structure
In the last year there have been several academic papers written about the market structure of the US Treasury market. As the most important fixed income market it is great to see so much discussion around the topic of its market structure and improvements that can be made. Most of these papers were written in … Continue reading Papers on the US Treasury Market Structure
Review: Price Discovery in the U.S. Treasury Cash Market
Price-Discovery-in-UST-MarketsDownload This is the third post in my series of reviews of academic papers written in the last year about the market structure of the US Treasury market. As the most important fixed income market it is great to see so much discussion around the topic of market structure. This post is a review and … Continue reading Review: Price Discovery in the U.S. Treasury Cash Market
The Most Important Scarce Resource is Legitimacy
https://vitalik.ca/general/2021/03/23/legitimacy.html This is a fascinating article about legitimacy in the context of cryptocurrency and blockchains. What I thought was interesting was the list of the theories of legitimacy and how it can be obtained. The first two items, listed below, sound exactly like how our current system of government operates. Legitimacy by brute force: someone … Continue reading The Most Important Scarce Resource is Legitimacy
Review: Enhancing Liquidity of the U.S. Treasury Market Under Stress
Enhancing-Liquidity-in-US-Treasury-MarketsDownload This is the second post in my series of reviews of academic papers written in the last year about the market structure of the US Treasury market. As the most important fixed income market it is great to see so much discussion around the topic of market structure. This post is a review and … Continue reading Review: Enhancing Liquidity of the U.S. Treasury Market Under Stress
Review: Still the World’s Safe Haven?
Redesigning-the-US-Treasury-Market-post-COVIDDownload This is the first post in my series of reviews of academic papers written in the last year about the market structure of the US Treasury market. As the most important fixed income market it is great to see so much discussion around the topic of market structure. This post is a review and … Continue reading Review: Still the World’s Safe Haven?