Get Bloomberg SEF data
The Bloomberg Swap Execution Facility (SEF) offers customers the ability to
execute derivative instruments across a number of different asset classes.
It is required to make publicly available price, trading volume and other
trading data. It publishes this data on its website. I have reverse
engineered the JavaScript libraries used by its website to call the
Bloomberg Application Service using POST requests to a target URL.
bsef(date, asset_class)
date |
the date for which data is required as Date or DateTime object. Only the year, month and day elements of the object are used. Must be of length one. |
asset_class |
the asset class for which you would like to download
trade data. Valid inputs are |
a tibble containing the requested data, or an empty tibble if data is unavailable
## Not run: library (lubridate) # All asset classes bsef(ymd(20140528), "IR") ## End(Not run)
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