Post Global Financial Crisis derivatives reforms have lifted the veil off over-the-counter (OTC) derivative markets. Swap Execution Facilities (SEFs) and Swap Data Repositories (SDRs) now publish data on swaps that are traded on or reported to those facilities (respectively). This package provides you the ability to get this data from supported sources.
Liquidity and pricing in the over-the-counter (OTC) derivative markets have tended to have less transparent than their exchange traded (lit) equivalents. The Bank of International Settlements (BIS) has published statistics of trading in the OTC markets on a triennual basis. However, representative statistics of volume and pricing data on a more frequent basis has been near impossible to obtain. Post-GFC derivatives reforms have lifted the veil in these markets.
Some Over-The-Counter (OTC) derivatives have been Made Available for Trade (MAT) by the CTFC. This means they must be traded on Swap Execution Facilities (SEFs). These SEFs are compelled publish trading volume and prices for these MAT derivatives on a daily basis.
Some of the most widely used SEFs are run by Bloomberg, ICAP, Tullett Prebon and Tradeweb among others.
The key economic terms of traded swaps must be reported to an authorised Swap Data Repository (SDR). Some of the most widely used SDRs are the DTCC Data Repository, Bloomberg's SDR, ICE Trade Vault and the CME's SDR. The CFTC provides weekly snapshots of data collected by these SDRs on a weekly basis. SDRs domiciled in different regulatory jurisdications are expected to provide differing levels of data. U.S. regulations compel U.S. domiciled SDRs to provide (anonymised) trade level data to the public while SDRs in other jurisdictions (e.g. in Europe) expected far less granular, and typically only aggregated, data.
You can source OTC derivatives data from supported sources. Supported sources include BloombergSEF and several U.S. domiciled SDRs including DTCC's DDR, Bloomberg's SDR and CME. SDRs in other jurisdictions do not provide trade level data and consequently these sources are unsupported. Further sources that provide trade level data will be added over time (and pull requests to that end are welcome).
You can download daily trade data executed on the BloombergSEF:
library("dataonderivatives")bsef(lubridate::ymd(20150504), "IR")#> tradeDate security priceOpen priceHigh priceLow priceClose#> * <chr> <chr> <chr> <chr> <chr> <chr>#> 1 2015-05-04T00:0… EUR SWAP VS 6… 0.9265 0.9265 0.9265 0.9265#> 2 2015-05-04T00:0… EUR SWAP VS 6… 0.167 0.167 0.167 0.167#> 3 2015-05-04T00:0… EUR SWAP VS 6… 0.3205 0.3487 0.312 0.3404#> 4 2015-05-04T00:0… EUR SWAP VS 6… 0.0905 0.1068 0.0878 0.1068#> 5 2015-05-04T00:0… EUR SWAP VS 6… 0.7155 0.7155 0.707 0.712#> 6 2015-05-04T00:0… EUR SWAP VS 6… 1.062 1.168 1.062 1.168#> 7 2015-05-04T00:0… USD MAC 3M JU… 1.25 1.25 1.25 1.25#> 8 2015-05-04T00:0… SWA USD P 3.5… 3.5 3.5 3.5 3.5#> 9 2015-05-04T00:0… SWA USD R 3.2… 3.25 3.25 3.25 3.25#> 10 2015-05-04T00:0… USD S/A 3M JU… 2.6619 2.6619 2.6619 2.6619#> # ... with 39 more rows, and 6 more variables: settlementPrice <chr>,#> # totalVolume <chr>, blockTradeVolume <chr>, totalVolumeUsd <chr>,#> # blockTradeVolumeUsd <chr>, currency <chr>
And BloombergSDR:
bsdr(lubridate::ymd(20150504), "IR")#> # A tibble: 272 x 38#> dissemination_id org_dissemination… exec_timestamp action cleared#> <chr> <chr> <chr> <chr> <chr>#> 1 6145124147303546… 0 2015-05-04T21:00:0… New C#> 2 6145122631180091… 0 2015-05-04T20:54:1… New C#> 3 6145121802251141… 0 2015-05-04T20:51:0… New C#> 4 6145118417817174… 0 2015-05-04T20:37:5… New C#> 5 6145115729167646… 0 2015-05-04T20:27:2… New C#> 6 6145115724872941… 0 2015-05-04T20:27:2… New C#> 7 6145115720577712… 0 2015-05-04T20:27:2… New C#> 8 6145114410612948… 0 2015-05-04T20:22:2… New C#> 9 6145114255993602… 0 2015-05-04T20:21:4… New C#> 10 6145114092785631… 0 2015-05-04T20:21:0… New C#> # ... with 262 more rows, and 33 more variables: collateralization <chr>,#> # end_user_excpetion <chr>, bespoke_swap <chr>, block_trade <chr>,#> # exec_venue <chr>, effective_date <chr>, end_date <chr>,#> # day_count_convention <chr>, settlement_currency <chr>,#> # asset_class <chr>, asset_subclass <chr>, contract_type <chr>,#> # contract_subtype <lgl>, taxonomy <chr>,#> # price_forming_continuation_data <chr>, underlying_asset_1 <chr>,#> # underlying_asset_2 <chr>, price_notation_type <chr>,#> # price_notation <chr>, additional_price_notation_type <list>,#> # additional_price_notation <chr>, unique_product_id <chr>,#> # notional_currency_1 <chr>, notional_currency_amount_1 <chr>,#> # notional_currency_2 <chr>, payment_frequency <chr>,#> # payment_frequency_2 <chr>, reset_frequency_2 <chr>,#> # option_strike_price <chr>, option_family <chr>, option_premium <chr>,#> # submission_timestamp <chr>, publication_timestamp <chr>
You can also download the data reported to the DTCC's SDR:
ddr(lubridate::ymd(20150504), "IR")#> # A tibble: 3,531 x 44#> DISSEMINATION_ID ORIGINAL_DISSEMINA… ACTION EXECUTION_TIMESTAMP CLEARED#> <int> <int> <chr> <dttm> <chr>#> 1 28754581 NA NEW 2015-05-04 01:36:25 C#> 2 28755698 NA NEW 2015-05-04 04:17:03 U#> 3 28755714 NA NEW 2015-05-04 04:18:04 U#> 4 28755719 NA NEW 2015-05-04 04:19:42 U#> 5 28755050 NA NEW 2015-05-04 02:38:19 U#> 6 28755051 NA NEW 2015-05-04 02:38:32 U#> 7 28755056 NA NEW 2015-05-04 02:38:55 U#> 8 28755059 NA NEW 2015-05-04 02:35:49 U#> 9 28755097 NA NEW 2015-05-04 02:41:09 U#> 10 28754613 NA NEW 2015-05-04 01:35:29 U#> # ... with 3,521 more rows, and 39 more variables:#> # INDICATION_OF_COLLATERALIZATION <chr>,#> # INDICATION_OF_END_USER_EXCEPTION <chr>,#> # INDICATION_OF_OTHER_PRICE_AFFECTING_TERM <chr>,#> # `BLOCK_TRADES_AND_LARGE_NOTIONAL_OFF-FACILITY_SWAPS` <chr>,#> # EXECUTION_VENUE <chr>, EFFECTIVE_DATE <date>, END_DATE <date>,#> # DAY_COUNT_CONVENTION <chr>, SETTLEMENT_CURRENCY <chr>,#> # ASSET_CLASS <chr>, `SUB-ASSET_CLASS_FOR_OTHER_COMMODITY` <chr>,#> # TAXONOMY <chr>, PRICE_FORMING_CONTINUATION_DATA <chr>,#> # UNDERLYING_ASSET_1 <chr>, UNDERLYING_ASSET_2 <chr>,#> # PRICE_NOTATION_TYPE <chr>, PRICE_NOTATION <dbl>,#> # ADDITIONAL_PRICE_NOTATION_TYPE <chr>, ADDITIONAL_PRICE_NOTATION <dbl>,#> # NOTIONAL_CURRENCY_1 <chr>, NOTIONAL_CURRENCY_2 <chr>,#> # ROUNDED_NOTIONAL_AMOUNT_1 <chr>, ROUNDED_NOTIONAL_AMOUNT_2 <chr>,#> # PAYMENT_FREQUENCY_1 <chr>, PAYMENT_FREQUENCY_2 <chr>,#> # RESET_FREQUENCY_1 <chr>, RESET_FREQUENCY_2 <chr>,#> # EMBEDED_OPTION <chr>, OPTION_STRIKE_PRICE <dbl>, OPTION_TYPE <chr>,#> # OPTION_FAMILY <chr>, OPTION_CURRENCY <chr>, OPTION_PREMIUM <dbl>,#> # OPTION_LOCK_PERIOD <chr>, OPTION_EXPIRATION_DATE <date>,#> # PRICE_NOTATION2_TYPE <chr>, PRICE_NOTATION2 <chr>,#> # PRICE_NOTATION3_TYPE <chr>, PRICE_NOTATION3 <chr>
bsdr()
to retrieve Bloomberg SDR data (also closes #23)bsef()
to retrieve Bloomberg SEF dataddr()
to retrieve DTCC Data Repository data (also closes #25)cme()
to retrieve CME SDR dataget_bsdr_data()
is defunct. Use the new function bsdr()
instead which has a different interface to get_bsdr_data()
.get_bsef_data()
is defunct. Use the new function bsef()
instead which has a different interface to get_bsef_data()
.get_ddr_data()
is defunct. Use the new function ddr()
instead which has a different interface to get_ddr_data()
.get_cme_data()
is defunct. Use the new function cme()
instead which has a different interface to get_cme_data()
.R
as well as readr
, httr
and utils
packages. The latter to ensure that downloader::download()
can be replaced by an implementation of utils::download.file()
that supports https:
URLs.httr::url_ok()
with expressions containing httr::status_code()
as the former is deprecatedasset_class
in get_bsef_data()
. Defaults to downloading data for all asset classescurate
argument.