China Bond Market Data, a collaborative database between CnOpenData and Wind Financial Terminal (通联数据), comprises 10 datasets:
- Bond Daily Quotes: Obtains daily trading data of Shanghai and Shenzhen bonds, including previous closing price(昨收价), opening price(开盘价), high price(最高价), low price(最低价), closing price(收盘价), trading volume(成交量), and turnover(成交金额). Except for convertible corporate bonds and exchangeable bonds on the Shenzhen Stock Exchange which adopt full-price trading, other varieties use net-price trading.
- Bond Daily Derived Indicators: Calculates derivative metrics from daily bond data, including yield to maturity(到期收益率), convexity(凸性), and duration(久期).
- Repo Daily Quotes: Retrieves daily repo trading data, covering opening rate(开盘利率), highest rate(最高利率), lowest rate(最低利率), closing rate(收盘利率), trading volume(成交量), turnover(成交金额), and number of transactions(成交笔数). Updates at 15:50 for exchanges and 21:00 for interbank markets.
- Interbank Spot Bond Daily Quotes: Provides interbank spot bond trading data, including net prices and yields corresponding to opening, high, low, and closing prices.
- Bond Daily VWAP: Acquires Volume-Weighted Average Price (VWAP) of bonds on Shanghai and Shenzhen exchanges.
- Convertible Bond Premium/Discount Information: Contains daily convertible bond prices(可转债价格), underlying stock prices(正股价格), and premium/discount rates(折溢价).
- Convertible Bond Daily Market Performance: Includes underlying stock code(正股代码), name(正股名称), issued amount(发行额) (in billion CNY), remaining scale(剩余规模) (in billion CNY), convertible bond price(转债价格), conversion price(转股价格), underlying stock price(正股价格), call trigger price(赎回触发价格), daily change(今日涨跌), weekly return(转债过去一周涨幅), parity/conversion premium rate(平价/转股溢价率) (%), bond floor/pure bond value(债底/纯债价值), and pure bond premium rate(纯债溢价率).
- Convertible Bond Derived Indicators: Computes metrics such as yield to maturity(到期收益率), convexity(凸性), duration(久期), modified duration(修正久期), call trigger price(赎回触发价), put trigger price(回售触发价), and turnover rate(换手率).
- Bond Price Limit Rules: Lists reference price limits (up/down limits) for Shanghai/Shenzhen bonds. Note: These are non-binding reference prices.
- Embedded Option Bond Derived Indicators: Provides yield(收益率), duration(久期), and convexity(凸性) for bonds with embedded options.
Time Coverage
- Bond Daily Quotes: 1993.02.10-2023.10.12
- Bond Daily Derived Indicators: 1993.02.10-2023.10.12
- Repo Daily Quotes: 1994.06.27-2023.10.12
- Interbank Spot Bond Daily Quotes: 1997.06.16-2023.10.12
- Bond Daily VWAP: 1993.02.10-2023.10.12
- Convertible Bond Premium/Discount Information: 1993.02.10-2023.10.12
- Convertible Bond Daily Market Performance: 1993.02.10-2023.10.12
- Convertible Bond Derived Indicators: 1993.01.04-2023.10.12
- Bond Price Limit Rules: 1993.02.10-2023.10.12
- Embedded Option Bond Derived Indicators: 2001.12.21-2023.10.12
Field Display
Sample Data
Due to the complexity of sub-tables within this dataset, only partial tables are displayed here. For detailed field descriptions and complete sample data, please visit the branch pages of each module on the right.
债券日行情
债券日行情衍生指标
回购交易日行情
银行间现券日行情
Data Update Frequency
Annual updates. For special requests, please contact separately.