February 3, 2010
Eurex publishes a lot of intersting information about the heavily traded Euro Govt Bond futures, Schatz (2yr), Bobl (5yr) and Bund (10yr). You can see the trade volume on each contract for today here, together with the open interest. You can see a 15 min delayed price chart for Schatz here. But most interestingly, you can get access to historical order book data. You have to pay for it of course, but there’s a free sample in the big zip: a full day’s data for Bund on 23 Mar 2007 including all orders and trades. From this data one could reconstruct the state of the order book at any point during the day with disaggregated depth.