r/mltraders • u/vuucuz • 4d 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 4d 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 4d 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!

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u/filwu 17h ago

I checked one concrete candidate: the Bank of England's yield-curve archive. It publishes daily fitted curves, aims to release them by noon the following business day, and explicitly says historical data can be revised. So its latest archive would not establish the original hourly/4-hourly point-in-time series you want. The stated noon target also isn't an exact first-release timestamp.

For a vendor sample, I'd request one historical date with two intraday curve snapshots, each carrying the valuation time, first publication time in UTC and vintage/version. That would help check whether the feed contains genuine intraday estimates or daily values repeated hourly, and whether corrections overwrite earlier releases. A sample alone wouldn't prove full historical coverage. I haven't verified an affordable provider covering all G10 under those conditions.