U.S. Treasury Note historical data
Author: kazuna
Creation Date: 12/5/2018 6:54 PM
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kazuna

#1
Anyone knows the symbols or ideals to get the historical data for U.S. Treasury Note?

Especially I'm interested in getting historical data for these.
https://www.marketwatch.com/investing/Bond/TMUBMUSD02Y?countryCode=BX
https://www.marketwatch.com/investing/Bond/TMUBMUSD05Y?countryCode=BX
https://www.marketwatch.com/investing/Bond/TMUBMUSD10Y?countryCode=BX
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Eugene

#2
Check out this fundamental data provider, it used to deliver the data for Treasuries as fundamental items:

Multpl economic data provider

If it doesn't do the job, let me know if one of these free data sources by Quandl has the series you're after (which one?) and I look into supporting it in the provider:

https://www.quandl.com/data/USTREASURY-US-Treasury
https://www.quandl.com/data/FED-US-Federal-Reserve-Data-Releases?keyword=states

QUOTE:
Especially I'm interested in getting historical data for these.


Would like to help you get a new source into WL but not seeing enough historical data for backfill at this feed. It returns the data for a given date only which isn't sufficient.

Other ideas and suggestions are welcome.
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kazuna

#3
QUOTE:
Multpl economic data provider

Unfortunately, it looks like monthly data not daily data.

QUOTE:
free data sources by Quandl has the series you're after (which one?)

Treasury Yield Curve Rates, 2 YR, 5 YR and 10 YR are the ones I'm looking for.
The table looks great as it has historical data since 1990-01-02.
Could you consider supporting it as a new source into WL?
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Eugene

#4
Yes I will add support for it as part of the existing Quandl provider:

Quandl static provider

Since Quandl uses just one ticker USTREASURY/YIELD to contain all available maturities from 1 mo to 30 yr, my plan is to add them all as NamedSeries into one (we usually do this for the sentiment series). And it might make sense to add the 2/5/10/30 yr rates as a virtual OHLC. Once it's done, make sure you've read the online user guide in the Wiki:

Quandl provider suite

A section similar to the "COT" or "AAII" data in the Wiki will be included to show you how to use your new data. Check out the QuickRef for FindNamedSeries on how to get the named series.

Stay tuned.
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Eugene

#5
@kazuna

You got it. The Quandl provider has just been updated.

Robert suggests that the FRED 'Fundamental' provider (which is part of MS123 Extra Fundamental/News Providers) also contains the yield curve data. It's a static data provider so the tickers are: DGS1, DGS2, DGS5, DGS10, DGS30. Choose Daily scale in the Wizard.
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kazuna

#6
Thank you very much!
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Eugene

#7
At your service.
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pestocat2

#8
I now have the 2 and 10 year Fed interest rate data (I think) and now want to plot the 10 year minus 2 year. I used
CODE:
Please log in to see this code.

How can I get a dataseries of the 10 - the 2
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Eugene

#9
Where "FRED(Daily)" stands for the DataSet name by the FRED fundamental provider:

CODE:
Please log in to see this code.
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pestocat2

#10
Thank you Eugene,
This works out very good. I also put out the 10 and 2 year charts just to confirm the 10-2 interest rates were correct.

Do I need to download more data from FRED or does it come automatically when the WLP application is run. It seems that the last data point was 12/6/2018.
Gary


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Eugene

#11
QUOTE:
Do I need to download more data from FRED or does it come automatically when the WLP application is run.

Gary, this is a (very) basic usage question not pertaining to this specific topic. On how to update data by 3rd party providers in Wealth-Lab Pro, please refer to the Wealth-Lab User Guide or start a new forum topic.

QUOTE:
It seems that the last data point was 12/6/2018.

At the moment the data is up to 12/7/2018 (and at Quandl either). The U.S. treasury website (which is the source for the both) may have a delay.
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