I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download such data. On JPMorgan I can download day by day Mid Prices; those can't be converted to OHLC, or even OC right? Because (at least in equities) the close price of one day is not the open price of the next day, and I assume this is true of bonds as well. Please pardon if this is a simple question, I'm new to quant finance.
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1$\begingroup$ Perhaps if you tell us what you're trying to accomplish, we can help you better? My initial instinct is that there's not much value in doing this. Bond price time series are not continuous – new 10-year bonds are constantly issued at different coupon rates, so their prices are not very comparable over time. $\endgroup$– HelinJun 22, 2018 at 19:42
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Welcome to fixed income data problems padawan!
I mean, if you really wanted to, you can convert it. But the problem is the that a lot of these prices are lagged by varying measures with inconsistent updates and inaccurate from market convention prices outside of a few sources.
Only way I've obtained what you are asking for is asking my friend at a bank to hook me up. Data providers guard this stuff zealously and OHLC intraday data is more expensive the higher frequency it is.
ps: what JPM link are you talking about?
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$\begingroup$ How exactly would one go about converting it? The data I have is daily mid prices from markets.jpmorgan.com. I suppose a crude thing to do would be to just shift it, so that close of one day is the open of the next, just so we have something to work with.. I only need daily OHLC data, from 2000 to 2018. $\endgroup$ Jun 22, 2018 at 14:38