BASI Index – Bond Markets Liquidity

While researching venues and third party systems supported in the fixed income trading world, I took a deeper look at the MarketAxess website the this week.

While browsing through the documentation, I ended up on their research page where they demo their new index, the BASI.

This index measures the liquidity of the fixed income market in the US and in Europe (they have two versions of it) based on the bid-ask spread.

Looking at that chart, the correlation with the VIX index is striking. I tend to think it has been back-fitted at little but the interesting part is that it is starting to move upwards again.

Are investors starting to slowly move out of stocks to start buying more bonds? Is 2015 going to be a new volatile year?

Anyways, this is an interesting index I will keep my eyes on in the future, and I thought was worth sharing.

Parabolic SAR implementation in Python

I have recently tried to use the Parabolic Stop and Reverse indicator to track the VIX index (volatility on the S&P 500). A while back, I had used TA-lib and many of its indicators, but it was a while back. And I found it fairly painful to setup for Python this time. Given that I only needed this indicator, and that it is often better to have your own code for this kind of analysis, I simply translated an implementation from AmiBroker to Python. And here is a quick overview of what it looks like: The full code can be downloaded from my GitHub account.

def psar(barsdata, iaf = 0.02, maxaf = 0.2):
    length = len(barsdata)
    dates = list(barsdata['Date'])
    high = list(barsdata['High'])
    low = list(barsdata['Low'])
    close = list(barsdata['Close'])
    psar = close[0:len(close)]
    psarbull = [None] * length
    psarbear = [None] * length
    bull = True
    af = iaf
    ep = low[0]
    hp = high[0]
    lp = low[0]
    for i in range(2,length):
        if bull:
            psar[i] = psar[i - 1] + af * (hp - psar[i - 1])
        else:
            psar[i] = psar[i - 1] + af * (lp - psar[i - 1])
        reverse = False
        if bull:
            if low[i] < psar[i]:
                bull = False
                reverse = True
                psar[i] = hp
                lp = low[i]
                af = iaf
        else:
            if high[i] > psar[i]:
                bull = True
                reverse = True
                psar[i] = lp
                hp = high[i]
                af = iaf
        if not reverse:
            if bull:
                if high[i] > hp:
                    hp = high[i]
                    af = min(af + iaf, maxaf)
                if low[i - 1] < psar[i]:
                    psar[i] = low[i - 1]
                if low[i - 2] < psar[i]:
                    psar[i] = low[i - 2]
            else:
                if low[i] < lp:
                    lp = low[i]
                    af = min(af + iaf, maxaf)
                if high[i - 1] > psar[i]:
                    psar[i] = high[i - 1]
                if high[i - 2] > psar[i]:
                    psar[i] = high[i - 2]
        if bull:
            psarbull[i] = psar[i]
        else:
            psarbear[i] = psar[i]
    return {"dates":dates, "high":high, "low":low, "close":close, "psar":psar, "psarbear":psarbear, "psarbull":psarbull}