USTreasuryAuction
USTreasuryAuction()
Bases: BaseData
The result of one U.S. Treasury marketable securities auction: how much was offered and sold, the yield or rate it cleared at, the demand it drew and who bought it. Several auctions of one benchmark can share an end time (cash management bills, and six days in 1984 to 1986 and 2008): subscribe to USTreasuryAuctions to receive all of them, since a subscription to this class delivers one per end time.
Constructor for initialising the dase data class
EXPECTED_COLUMNS: int = 35
Number of columns a line of the file carries.
security_term: str
The term of the security as auctioned, for example "10-Year" for a new issue or "9-Year 10-Month" for a reopening of an earlier 10-year note
issue_date: Optional[datetime]
Date the security is issued
maturity_date: Optional[datetime]
Date the security matures
is_reopening: bool
True when the auction sold more of a security that was already outstanding
interest_rate: Optional[float]
Annual coupon rate of the security in percent, empty for bills and floating rate notes
spread: Optional[float]
Fixed spread over the index rate of a floating rate note in percent
offering_amount: Optional[float]
Amount offered to the public, in dollars of face value
total_tendered: Optional[float]
Total amount of bids received, in dollars of face value
total_accepted: Optional[float]
Total amount sold, in dollars of face value
competitive_tendered: Optional[float]
Amount of competitive bids received, in dollars of face value
competitive_accepted: Optional[float]
Amount of competitive bids accepted, in dollars of face value
noncompetitive_accepted: Optional[float]
Amount of noncompetitive bids accepted, in dollars of face value
bid_to_cover_ratio: Optional[float]
Ratio of the amount bid to the amount accepted, as published by the Treasury
high_yield: Optional[float]
Highest accepted yield in percent, the rate the auction cleared at for notes, bonds and TIPS
low_yield: Optional[float]
Lowest accepted yield in percent
median_yield: Optional[float]
Median yield of the accepted competitive bids in percent
high_discount_rate: Optional[float]
Highest accepted discount rate of a bill in percent, the rate bills are bid in
low_discount_rate: Optional[float]
Lowest accepted discount rate in percent
median_discount_rate: Optional[float]
Median discount rate of the accepted competitive bids in percent
high_investment_rate: Optional[float]
Bond equivalent yield of the high discount rate of a bill in percent
high_discount_margin: Optional[float]
Highest accepted discount margin in percent, the rate the auction cleared at for floating rate notes
low_discount_margin: Optional[float]
Lowest accepted discount margin in percent
median_discount_margin: Optional[float]
Median discount margin of the accepted competitive bids in percent
high_price: Optional[float]
Price per 100 of face value at the highest accepted yield or rate
allocation_percentage: Optional[float]
Percent of the bids at the highest accepted yield or rate that were filled
direct_bidder_tendered: Optional[float]
Amount bid by direct bidders, in dollars of face value
direct_bidder_accepted: Optional[float]
Amount accepted from direct bidders, in dollars of face value
indirect_bidder_tendered: Optional[float]
Amount bid by indirect bidders, which include foreign central banks, in dollars of face value
indirect_bidder_accepted: Optional[float]
Amount accepted from indirect bidders, in dollars of face value
primary_dealer_tendered: Optional[float]
Amount bid by primary dealers, in dollars of face value
primary_dealer_accepted: Optional[float]
Amount accepted from primary dealers, in dollars of face value
soma_accepted: Optional[float]
Amount accepted from the Federal Reserve's System Open Market Account, in dollars of face value
fima_noncompetitive_accepted: Optional[float]
Amount of noncompetitive bids accepted from foreign and international monetary authorities, in dollars of face value
clearing_rate: Optional[float]
The rate the auction cleared at, in percent: the high yield for notes, bonds and TIPS, the high investment rate for bills (the bond equivalent of the high discount rate, comparable with note yields) and the high discount margin for floating rate notes. It is also BaseData.value, which is 0 for an auction without any of them (none in the history).
end_time: datetime
Time the result is available to algorithms: 14:10 New York on the auction day, 16:10 for an auction that closed at 13:25 or later or has no published closing time, and 14:10 of the next business day for one that closed at 15:25 or later
data_type: MarketDataType
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
time: datetime
Current time marker of this data packet.
value: float
Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.
price: float
As this is a backtesting platform we'll provide an alias of value as price.
ALL_RESOLUTIONS: List[Resolution] = ...
A list of all Resolution
This Field is protected.
DAILY_RESOLUTION: List[Resolution] = ...
A list of Resolution.DAILY
This Field is protected.
MINUTE_RESOLUTION: List[Resolution] = ...
A list of Resolution.MINUTE
This Field is protected.
HIGH_RESOLUTION: List[Resolution] = ...
A list of high Resolution, including minute, second, and tick.
This Field is protected.
OPTION_RESOLUTIONS: List[Resolution] = ...
A list of resolutions support by Options
This Field is protected.
is_fill_forward: bool
True if this is a fill forward piece of data
data_time_zone() -> Any
Data time zone, New York, where the Treasury holds the auctions
get_source(
config: SubscriptionDataConfig,
date: datetime,
is_live_mode: bool,
) -> SubscriptionDataSource
Location of the source file: one file per benchmark holding every auction of it. Read line by line; USTreasuryAuctions folds the auctions that share an end time into one point.
is_sparse_data() -> bool
Sparse data: a benchmark is auctioned weekly at most, and some only a few times a year
parse(csv: List[str]) -> USTreasuryAuction
Reads one split line into an auction result that has no symbol yet
reader(
config: SubscriptionDataConfig,
line: str,
date: datetime,
is_live_mode: bool,
) -> BaseData
Parses one line of the file into one auction result
requires_mapping() -> bool
Not linked to a traded security, so no mapping applies
to_string() -> str
String representation for debugging
deserialize_message(serialized: str) -> Sequence[BaseData]
Deserialize the message from the data server
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
serialized
|
str
|
The data server's message |
required |
Returns:
| Type | Description |
|---|---|
Sequence[BaseData]
|
An enumerable of base data, if unsuccessful, returns an empty enumerable. |
should_cache_to_security() -> bool
Indicates whether this contains data that should be stored in the security cache
Returns:
| Type | Description |
|---|---|
bool
|
Whether this contains data that should be stored in the security cache. |
update(
last_trade: float,
bid_price: float,
ask_price: float,
volume: float,
bid_size: float,
ask_size: float,
) -> None
Update routine to build a bar/tick from a data update.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
last_trade
|
float
|
The last trade price |
required |
bid_price
|
float
|
Current bid price |
required |
ask_price
|
float
|
Current asking price |
required |
volume
|
float
|
Volume of this trade |
required |
bid_size
|
float
|
The size of the current bid, if available |
required |
ask_size
|
float
|
The size of the current ask, if available |
required |
update_ask(ask_price: float, ask_size: float) -> None
Updates this base data with the new quote ask information
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
ask_price
|
float
|
The current ask price |
required |
ask_size
|
float
|
The current ask size |
required |
update_bid(bid_price: float, bid_size: float) -> None
Updates this base data with the new quote bid information
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
bid_price
|
float
|
The current bid price |
required |
bid_size
|
float
|
The current bid size |
required |
update_quote(
bid_price: float,
bid_size: float,
ask_price: float,
ask_size: float,
) -> None
Updates this base data with new quote information
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
bid_price
|
float
|
The current bid price |
required |
bid_size
|
float
|
The current bid size |
required |
ask_price
|
float
|
The current ask price |
required |
ask_size
|
float
|
The current ask size |
required |
update_trade(last_trade: float, trade_size: float) -> None
Updates this base data with a new trade
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
last_trade
|
float
|
The price of the last trade |
required |
trade_size
|
float
|
The quantity traded |
required |