dataonderivatives (version 0.3.1)

bsdr: Get Bloomberg SDR data

Description

The Bloomberg Swap Data Repository (BSDR) is a registered U.S. swap data repository that allows market participants to fulfil their public disclosure obligations under U.S. legislation. BSDR is required to make publicly available price, trading volume and other trading data reported to its U.S. repository. It publishes this data on its website in real-time and also on a historical basis. I have reverse engineered the JavaScript libraries used by its website to call the Bloomberg Application Service using POST requests to a target URL.

Usage

bsdr(dates, asset_class, currency = NULL)

Arguments

dates

the dates for which data is required as Date or DateTime object. It will use all date-time elements including year, month, day, hour, minute, second (up to milliseconds) and time zone information to determine the set of trades to return. It will return the set of trades for the day starting on dates if dates is of length one or the set of trades between the first and second elements of dates if dates has a length greater than one.

asset_class

the asset class for which you would like to download trade data. Valid inputs are "CR" (credit), "IR" (rates), "EQ" (equities), "FX" (foreign exchange), "CO" (commodities).

currency

the currency for which you would like to get trades for. These should be the currency's ISO code

Value

a tibble containing the requested data, or an empty tibble if data is unavailable. Note that fields containing notional information are not necessarily numeric values are capped in public data to meet CFTC requirements.

References

BSDR search Bloomberg SDR API

Examples

# NOT RUN {
library (lubridate)
# Interest rate trades for day starting 19 May 2017
bsdr(ymd(20170519), "IR")
# Interest rate trades for the period between 19 May 2017 and 23 May 2017
bsdr(ymd(20170519, 20170523), "IR")
# }