Does this just mean they are aggregating data from vendors like MarketAxess? Or is something more impressive going on?

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    $\begingroup$ I don’t see any evidence, other than the unsupported assertion by the journalist, that Renaissance does actually have real-time corporate bond pricing. If they do, it must be model-based since a lot of these bonds are not traded, or even quoted, regularly. $\endgroup$ May 3 '20 at 17:54
  • $\begingroup$ @ChrisTaylor They are quoted regularly, multiple times daily by multiple dealers, but only to institutional investors. See my answer. $\endgroup$ May 4 '20 at 12:31

Outside of ETFs, corporate bond markets are driven by institutional flows. Over the course of a single day, multiple dealers will send multiple "runs" messages to their institutional clients. These "runs" contain markets on corporate bonds. The information from these is text scraped and stored. You can buy this information from someone like Bloomberg or you can be an institutional investor, have received the messages yourself, and do the text scraping yourself. I left this market 5 years ago so i can't currently speak for the portion of the market covered by MarketAxess, but even back then the "runs" information would present a much better picture of true supply and demand than MarketAxess.


The article implies, though does not quite say, that for quite some years now, Renaissance has been calculating up-to-date reference prices quite frequently. In the case of MarketAxess, "quite frequently" is defined as "every 15 seconds". If you are not terribly concerned with quality, even Bloomberg has provided minimal reference price capabilities for well over a decade.

As pointed out by @R_down_by_the_bay, pricing in these markets has tended to be according to privately-published "runs" sent mainly to institutional clients. Aggregators like MarketAxess have often obtained their data through agreements with some of those clients. These days, the electronic trading on their platform provides an additional data stream that does not rely on partners' reporting systems.

In the case of Renaissance, I doubt they are aggregating much from MarketAxess. They get the runs themselves, and have been doing so for years and years. It's easy to conceive of some big factor model where runs are constantly updating the coefficients. If part of the model has equity prices and CDX indexes in it, and good intuition was used in constructing it, it should do a decent job of providing up-to-the minute pre-trade prices even for illiquid issues.

While I am sure the Renaissance model is well-constructed, they are not alone. There have been many institutions constructing pre-trade models for illiquid securities. They have no reason to tell us all about them.


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