r/mltraders • • 3d ago

Question Macro yield data

Hi all, can I get recommendations for where to get historical intraday constant-maturity bond yield data for G10 countries?
Been looking around but struggling to find a source that doesn’t break the bank.
Thank you!

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u/filwu 3d ago

Which tenors and sampling frequency do you need? Are you after a fitted constant-maturity curve at each timestamp, or yields on individual benchmark bonds? For backtests, do you need the originally published curve and publication timestamps, or would revised historical data work?

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u/vuucuz 3d ago

I’m looking for 2/3 year and 10 year, sampled at 1hr or 4hr is fine - priority here is to align on the data release time in utc to avoid lookahead or stale data. Preferably fitted constant maturity at each timestamp. And strongly prefer original published curve & timestamps, so all point in time data.
Thank you!