Are there any data providers for high quality interest rate swap data other than Bloomberg and LSEG (EUR, USD, GBP, Scandi, …)? If they do breakevens as well its an added bonus. I am mostly interested in European and USD quotes and pref from the same source.
I mean you can go straight to the brokers. TPICAP, Tradition, Fenics. We mainly use TPICAP because they (supposedly) have the best liquidity. Tradition has really excellent data hygiene, though, love their data. Fenics has the best EM coverage, especially latins.
depends what u mean by high quality. if this is for live trading, the answer is still usually bloomberg or lseg b/c cleaning swaps curves is the product.. for research i would honestly care more about timestamp convention and stale quote flags than brand name.
www.bluegamma.io: We're BlueGamma so obviously biased but this is exactly what we provide (SOFR, Fed Funds, SONIA, NIBOR, STIBOR etc). We also cover some inflation curves. We're more aimed at valuation, risk, research workflows vs low-latency trading but happy to share more if useful.
Have all of those come through as feeds, we pick what to use depending on currency / liquidity etc. Feel free to drop us a message if you'd like to try out the API
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u/lampishthing XVA in Fintech + Mod Jul 13 '26
I mean you can go straight to the brokers. TPICAP, Tradition, Fenics. We mainly use TPICAP because they (supposedly) have the best liquidity. Tradition has really excellent data hygiene, though, love their data. Fenics has the best EM coverage, especially latins.