Get Bloomberg SDR data
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.
bsdr(dates, asset_class, currency = NULL)
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 |
asset_class |
the asset class for which you would like to download trade
data. Valid inputs are |
currency |
the currency for which you would like to get trades for. These should be the currency's ISO code |
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.
## 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") ## End(Not run)
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