Lesson 21 of 21 · Bond Trading Automation
Real Time Bond Pricing
The overbond academy will help you understand fixed income market fundamentals
What this shows: Each incoming RFQ is answered with a COBI price inside the dealer bid/ask band; a better price than the competing quote is a hit.
20 RFQs answered, 12 hits: hit ratio 60%.
Real-Time Bond Pricing
A real-time price is a price that exists at the moment it is displayed and at which securities can be, or have, traded. The equity markets have centralized publicly available real-time pricing. The bond markets do not have a centralized source for real-time pricing, but an increasing number of trading venues and other vendors are providing real or near-real-time pricing by aggregating existing data and using models to infer missing data.
AI models can now aggregate data from multiple sources and create a quasi-consolidated tape for a desk in real time. This has been made possible through the development of AI models that can price fixed income securities and score their liquidity, the development of protocols that allow for data aggregation and increased interoperability of the systems used in trading workflows, and increased speed from advances in cloud computing.
- AI model Overbond’s AI can generate prices and liquidity scores for more than 100,000 fixed income instruments and can build curves for more than 10,000 issuers.
- Interoperability Overbond can communicate and operate with different systems, allowing it to source data from live and historical vendor feeds such as Bloomberg and Refinitiv, internal historical records, settlement-layer records, unstructured data such as translated voice data, and fundamental data such as financial statements from S&P Capital IQ.
- Speed Overbond can do all of this and produce real-time prices with a refresh rate of milli-seconds by using cloud-computing built on Amazon Kinesis Data Analytics and AWS Lambda to perform many equations simultaneously.