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Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps by joining data from a previous incarnation of the contract (even if on a different exchange).

Similarly, can anyone explain why there are large gaps in the 3-year swap and 3-year government bond in data around 2008

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  • $\begingroup$ These are particularly illiquid contracts. Note the volume and open interest. Most traders ignore the Medium and Short Gilt and trade the Long Gilt futures where the volume and open interest is 2-3 orders of magnitude greater. $\endgroup$ – Norgate Data Aug 27 '15 at 13:04
  • $\begingroup$ Interesting, thank you @NorgateData I understand why the short term bond futures don't trade/exist in Japan but it seems strange that they are so illiquid for the UK $\endgroup$ – Celeste Aug 27 '15 at 22:59

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