dataonderivatives: cme – R documentation

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cme

Get CME SDR data

Description

The CME Swap Data Repository (SDR) is a registered U.S. swap data repository that allows market participants to fulfil their public disclosure obligations under U.S. legislation. CME is required to make publicly available price, trading volume and other trading data. It publishes this data on an FTP site.

Usage

cme(date, asset_class, field_specs = NULL)

cme_field_specs(asset_class)

Arguments

`date`	the date for which data is required as Date or DateTime object. It will only use the year, month and day elements to determine the set of trades to return. It will return the set of trades for the day starting on `date`.
`asset_class`	the asset class for which you would like to download trade data. Valid inputs are `"IR"` (rates), `"FX"` (foreign exchange), `"CO"` (commodities). This must be a string.
`field_specs`	a valid column specification that is passed to `readr::read_csv()` with a default value provided by `cme_field_specs()`. Note that you will likely need to set your own spec as the CME file formats have changed over time.

Value

a tibble containing the requested data, or an empty tibble if data is unavailable

References

CME SDR

Examples

## Not run: 
library(lubridate)
cme(ymd(20150506), "CO")

## End(Not run)

dataonderivatives

Easily Source Publicly Available Data on Derivatives

v0.3.1

GPL-2

Authors

Imanuel Costigan [aut, cre]

Initial release

cme