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.

Usage

bsef(start, end = start, asset_class)

Arguments

start

the date from 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.

end

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. Defaults to the start date.

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) and must be a string.

Value

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

References

Bloomberg SEF data

Examples

if (FALSE) {
bsef(as.Date("2021-05-12"), as.Date("2021-05-14"), "IR")
}