SDR Volume
Volume of instruments reported to an SDR (trade counts, gross notional or dv01)
Due to capping rules applied to SDRs, notional and dv01 measures are lower than actual volume
Parameter | Description | Default | Options |
---|---|---|---|
ticker Optional |
The BBG Ticker or list of tickers for the Swap instrument. | See Tickers. | |
taxonomy Optional |
The full product taxonomy, e.g InterestRate:IRSwap:FixedFloat, Credit:Index:CDX:CDXIG, ForeignExchange:NDF | See taxonomies | |
currency Optional |
Currency | USD | AED , ARS , AUD , BRL , CAD , CHF , CLP , CNH , CNY , COP , CZK , DKK , EGP , EUR , GBP , GHS , HKD , HUF , IDR , ILS , INR , JPY , KRW , KZT , LBP , LKR , MXN , MYR , NGN , NOK , NZD , PEN , PHP , PKR , PLN , RUB , SAR , SEK , SGD , THB , TWD , USD , VEB , VNG , ZAR |
reportDate Optional |
The report date in YYYY-MM-DD format. | 2024-10-08 | |
startDate Optional |
The start date in YYYY-MM-DD format | 2024-10-08 | |
endDate Optional |
The end date in YYYY-MM-DD format | 2024-10-08 | |
cleared Optional |
Cleared or uncleared trades. | C,U | C , U |
sef Optional |
Swap Execution Facility, refers to whether the transaction was On SEF or Off SEF or both. | On,Off,NA | NA , Off , On |
source Optional |
The Swap Data Repositories to use as the source of trades. | BBG,CME,DTCC,ICE | BBG , CME , DTCC , ICE |
volumeType Optional |
Returned volume types | notional | count , dv01 , notional |
showDaily Optional |
Show Daily | false | |
columns Optional |
Columns to show in result | - | Currency , Period End , Period Start , Taxonomy , Ticker , Volume , Volume Type |
import clarus response = clarus.sdr.volume(ticker='ADSW10,ADSW5',taxonomy='InterestRate:IRSwap:OIS') print (response)
import com.clarusft.api.model.sdr.VolumeRequest import com.clarusft.api.model.sdr.VolumeResponse ApiClient clarus = ApiClient.getDefault(); VolumeResponse response = clarus.request(new VolumeRequest().withTicker("ADSW10,ADSW5").withTaxonomy("InterestRate:IRSwap:OIS")); System.out.println(response);
import Clarus response = Clarus.Sdr.volume(ticker="ADSW10,ADSW5",taxonomy="InterestRate:IRSwap:OIS") print(response)
##
##Need to install packages once, if not already installed
##install.packages('httr')
##install.packages('readr')
##
library('httr')
##library('readr')
## Manually edit and set key/secret here ##
apiKey <- '...'
apiSecret <-'...'
request <- function(category, functionName, ...){
restUrl = paste0('https://apieval.clarusft.com/api/rest/v1/', category, '/',functionName, '.csv')
response <- POST(url=restUrl, body=list(...), encode='json', authenticate(apiKey, apiSecret, type='basic'))
if (response$status_code!=200){
stop(paste0('Request to ', category, '/', functionName, ' failed with status code: ', response$status_code))
}
return (response)
}
dataframe <- function(response){
return (read.csv(text=content(response, 'text'), sep=',', head=TRUE))
}
## filename <- file.path('C:', 'Temp', 'myfile.csv')
## myvalue <- <- read_file(filename)
r <- request('sdr', 'Volume', ticker='ADSW10,ADSW5', taxonomy='InterestRate:IRSwap:OIS')
df <- dataframe(r)
print (df)
import requests
import sys
import pandas
import io
#import os
# Example of REST API call to Clarus Microservices #
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
print (sys.version)
def request(category, functionName, **params):
restUrl = 'https://apieval.clarusft.com/api/rest/v1/' + category + '/' + functionName + '.json'
r = requests.post(restUrl, json=params, auth=(apiKey, apiSecret))
r.raise_for_status()
return r.json()
def dataframe(results):
return pandas.DataFrame(results['results'])
# filename = os.path.join('C:\\', 'Temp', 'myfile.csv')
# myvalue = open(filename).read()
r = request('sdr', 'Volume', ticker='ADSW10,ADSW5', taxonomy='InterestRate:IRSwap:OIS')
df = dataframe(r)
print(pandas.DataFrame.head(df))
use strict;
use warnings;
use MIME::Base64;
use JSON;
use REST::Client;
# Example of REST API call to Clarus Microservices #
my $client = REST::Client->new();
$client->addHeader('Content-Type', 'application/json');
# Manually edit and set key/secret here
my $apiKey = '';
my $apiSecret = '';
my $encoded_auth = encode_base64("$apiKey:$apiSecret", '');
$client->addHeader('Authorization', "Basic $encoded_auth");
my %params = ('ticker' => 'ADSW10,ADSW5','taxonomy' => 'InterestRate:IRSwap:OIS');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'sdr/';
my $name = 'Volume';
my $outputFormat = '.csv'; #can also be '.json' or '.tsv'
my $fullRESTUrl = $urlBase . $category . $name . $outputFormat;
$client->POST($fullRESTUrl,encode_json(\%params));
print 'Response: ' . $client->responseContent() . "\n";
print 'Response status: ' . $client->responseCode() . "\n";
printf('Example of REST API call to Clarus Microservices\n');
function r = request(category, functionName, params)
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
restUrl = ['https://' apiKey ":" apiSecret "@" 'apieval.clarusft.com/api/rest/v1/' category '/' functionName '.csv'];
[r, status, message] = urlread (restUrl, 'get', params);
if (status!=1)
error(['Failed on ' category '/' functionName ': ' message]);
endif
end
function ca = toCellArray(csvStr)
header_row = textscan (csvStr, "%s", 1, 'delimiter','\n');
headers = strsplit(char(header_row), ",");
numCols = size(headers)(2);
format = repmat('%s ', [1 numCols]);
ca = textscan (csvStr, format, 'delimiter',',', 'endofline',"\n");
end
params = {'ticker', 'ADSW10,ADSW5', ...
'taxonomy', 'InterestRate:IRSwap:OIS'}
r = request('sdr', 'Volume', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/sdr/volume.csv?taxonomy=InterestRate:IRSwap:OIS&ticker=ADSW10,ADSW5&
TSV
https://apieval.clarusft.com/api/rest/v1/sdr/volume.tsv?taxonomy=InterestRate:IRSwap:OIS&ticker=ADSW10,ADSW5&
JSON
https://apieval.clarusft.com/api/rest/v1/sdr/volume.json?taxonomy=InterestRate:IRSwap:OIS&ticker=ADSW10,ADSW5&
HTML
https://apieval.clarusft.com/api/rest/v1/sdr/volume.html?taxonomy=InterestRate:IRSwap:OIS&ticker=ADSW10,ADSW5&
Request Body
Submit to generate...
Response
Submit to generate...
{
"ticker" : "ADSW10,ADSW5",
"taxonomy" : "InterestRate:IRSwap:OIS"
}