SEF Volume

Parameter Description Default Options
reportDate
Optional
The report date in YYYY-MM-DD format.
startDate
Optional
The start date in YYYY-MM-DD format
endDate
Optional
The end date in YYYY-MM-DD format
venueType
Optional
VenueType DCM (US) , ETP (JP) , SEF (US)
sef
Optional
Swap Execution Facility, refers to whether the transaction was On SEF or Off SEF or both. 360T , BBG , BGC , CBOE (DCM) , CBOE(SEF) , CME (DCM) , CME (SEF) , ClearMarkets , DW , ETP BBG , ETP ICAP , ETP TP , ETP TW , ETP Trad , Eris , GFI , GTX , ICAP , ICE , ICE (DCM) - BTCFut , IGDL , Integral , Javelin , Latam , LedgerX , MarketAxess , NEX , Refinitiv , SwapEx , TP , TW , Tera , Tradition , TrueEX (DCM) , TrueEX (SEF)
assetClass
Optional
AssetClass CRD , FXD , IRD
productType
Optional
ProductType CRD: Index , CRD: Option , CRD: Single Name , CRD: Tranche , FXD: BTC Fut , FXD: FX Exotic Opt , FXD: FX Exotic Swap , FXD: FX ND Swap , FXD: FX NDF , FXD: FX Opt , IRD: BasisCrossCurrency , IRD: BasisCurrency , IRD: BondFut , IRD: CapFloor , IRD: Exotic , IRD: FRA , IRD: Inflation , IRD: MMFut , IRD: OIS , IRD: SPS , IRD: SwapFut , IRD: Swaption , IRD: Vanilla
currency
Optional
Currency AED , ARS , ASX , AUD , BRL , BTC , CAD , CHF , CLF , CLP , CNH , CNY , COP , COU , CRC , CZK , DKK , EGP , EUR , GBP , GHS , HKD , HUF , IDR , ILS , INR , JPY , KES , KRW , KZT , MXN , MXV , MYR , NGN , NOK , NZD , PEN , PHP , PKR , PLN , RON , RUB , SAR , SEK , SGD , SKK , THB , TRY , TWD , UAH , UDI , USD , UYU , VND , XAG , XAU , XPD , XPT , ZAR , ZMW
currencyPair
Optional
CurrencyPair (NA) , AUDAUD , AUDBRL , AUDCAD , AUDCHF , AUDCLP , AUDCNH , AUDCNY , AUDCOP , AUDHKD , AUDIDR , AUDINR , AUDJPY , AUDKRW , AUDMXN , AUDMYR , AUDNOK , AUDNZD , AUDPEN , AUDPHP , AUDSEK , AUDSGD , AUDTWD , AUDUSD , BRLCAD , BRLCHF , BRLCLP , BRLJPY , BRLMXN , BTCUSD , CADCAD , CADCHF , CADCLP , CADCNY , CADCOP , CADIDR , CADINR , CADJPY , CADKRW , CADMXN , CADMYR , CADNOK , CADPEN , CADPHP , CADRUB , CADSEK , CADTWD , CHFCNY , CHFIDR , CHFINR , CHFJPY , CHFKRW , CHFMXN , CHFMYR , CHFNOK , CHFPLN , CHFRUB , CHFSEK , CHFSGD , CHFTRY , CHFTWD , CLFCLP , CLFLCP , CLFPCLP , CLFUSD , CLPJPY , CNHINR , CNHJPY , CNHSGD , CNHTWD , CNYHKD , CNYJPY , COPCOP , COPCOU , DKKRUB , DKKTWD , DKKUSD , EGPUSD , EURARS , EURAUD , EURBRL , EURCAD , EURCHF , EURCLP , EURCNH , EURCNY , EURCOP , EURCRC , EURCZK , EURDZD , EUREGP , EURGBP , EURGHS , EURHKD , EURHUF , EURIDR , EURILS , EURINR , EURJPY , EURKES , EURKRW , EURKZT , EURMXN , EURMYR , EURNGN , EURNOK , EURNZD , EUROPE , EURPEN , EURPHP , EURPKR , EURPLN , EURRON , EURRUB , EURSEK , EURSGD , EURTRY , EURTWD , EURUAH , EURUSD , EURVND , EURZAR , GBPARS , GBPAUD , GBPBRL , GBPCAD , GBPCHF , GBPCLP , GBPCNH , GBPCNY , GBPCOP , GBPEGP , GBPGHS , GBPIDR , GBPINR , GBPJPY , GBPKRW , GBPKZT , GBPMXN , GBPMYR , GBPNGN , GBPNOK , GBPNZD , GBPPEN , GBPPHP , GBPRUB , GBPSEK , GBPSGD , GBPTWD , GBPUAH , GBPUSD , GBPZAR , GBPZMW , HKDCNH , HKDCNY , HKDINR , HKDJPY , HKDTWD , IDRSGD , INRJPY , JPYCNH , JPYIDR , JPYINR , JPYKRW , JPYNOK , JPYPHP , JPYSGD , JPYTRY , JPYTWD , KNOCK- , KNOCKO , KRWSGD , MXNBRL , MXNCOP , MXNJPY , MXNMXV , MXNPEN , MXVUSD , MYRCHF , MYRJPY , MYRKRW , MYRSEK , MYRSGD , NOKBRL , NOKCAD , NOKGBP , NOKSEK , NZDBRL , NZDCAD , NZDCHF , NZDCLP , NZDGBP , NZDIDR , NZDJPY , NZDKRW , NZDNOK , NZDSEK , NZDSGD , NZDUSD , PENAUD , PENCLP , PENMXN , PENNZD , PHPSGD , PLNCLP , PLNINR , SARUSD , SDUDBR , SDUDPE , SEKAUD , SEKCNY , SEKJPY , SEKMYR , SGDCLP , SGDCNH , SGDCNY , SGDEUR , SGDINR , SGDTWD , THBINR , TRYCHF , TRYSUD , TRYZAR , TWDINR , USDAED , USDARS , USDBRL , USDCAD , USDCHF , USDCLF , USDCLP , USDCNH , USDCNY , USDCOP , USDCRC , USDCZK , USDDKK , USDEGP , USDGHS , USDGTQ , USDHKD , USDHUF , USDIDR , USDIDS , USDILS , USDINR , USDJPY , USDKES , USDKRS , USDKRW , USDKZT , USDLKR , USDMAD , USDMXN , USDMXV , USDMYR , USDNGN , USDNOK , USDPEN , USDPHP , USDPKR , USDPLN , USDQAR , USDRON , USDRUB , USDSAR , USDSEK , USDSGD , USDTHB , USDTRY , USDTWD , USDUAH , USDUGX , USDUSD , USDUYU , USDVND , USDXBT , USDZAR , USDZMW , XAGUSD , XAUAUD , XAUCHF , XAUEUR , XAUGBP , XAUUSD , XPDUSD , XPTUSD , ZARJPY
tenor
Optional
Tenor 10YR , 11YR , 12YR , 15YR , 18MO , 1MO , 1YR , 20YR , 25YR , 2MO , 2YR , 30YR , 35YR , 3MO , 3YR , 40YR , 4YR , 50YR , 5YR , 6MO , 6YR , 7YR , 8YR , 9MO , 9YR , Other
security
Optional
Security (NA) , 1 Month Eurodollar Future , 10YR Eris SOFR Swap Future , 10YR Eris Swap Future , 10YR Euro Del Swap Future , 10YR T-Note Future , 10YR USD Del Swap Future , 15YR Eris Swap Future , 1MO SOFR Future , 1YR Eris SOFR Swap Future , 20YR Eris Swap Future , 2YR Eris SOFR Swap Future , 2YR Eris Swap Future , 2YR Euro Del Swap Future , 2YR Eurodollar Bundle Future , 2YR T-Note Future , 2YR USD Del Swap Future , 2YR USD MAC Swap Future , 30 Day Federal Funds Future , 30YR Eris Swap Future , 30YR USD Del Swap Future , 3MO SOFR Future , 3YR Eris SOFR Swap Future , 3YR Eris Swap Future , 3YR Eurodollar Bundle Future , 3YR T-Note Future , 4YR Eris SOFR Swap Future , 4YR Eris Swap Future , 5YR Eris SOFR Swap Future , 5YR Eris Swap Future , 5YR Euro Del Swap Future , 5YR Eurodollar Bundle Future , 5YR T-Note Future , 5YR USD Del Swap Future , 7YR Eris Swap Future , 7YR USD Del Swap Future , ABX.HE.A-S6 , ABX.HE.AA-S6 , ABX.HE.AA-S7 , ABX.HE.AAA-S6 , ABX.HE.AAA-S7 , Brazil , CDX.EM-S11 , CDX.EM-S12 , CDX.EM-S13 , CDX.EM-S14 , CDX.EM-S15 , CDX.EM-S16 , CDX.EM-S17 , CDX.EM-S18 , CDX.EM-S19 , CDX.EM-S20 , CDX.EM-S21 , CDX.EM-S22 , CDX.EM-S23 , CDX.EM-S24 , CDX.EM-S25 , CDX.EM-S26 , CDX.EM-S27 , CDX.EM-S28 , CDX.EM-S29 , CDX.EM-S30 , CDX.EM-S31 , CDX.EM-S32 , CDX.EM-S33 , CDX.EM-S34 , CDX.EM-S35 , CDX.NA.HY-24 , CDX.NA.HY-S1 , CDX.NA.HY-S10 , CDX.NA.HY-S11 , CDX.NA.HY-S12 , CDX.NA.HY-S13 , CDX.NA.HY-S14 , CDX.NA.HY-S15 , CDX.NA.HY-S16 , CDX.NA.HY-S17 , CDX.NA.HY-S18 , CDX.NA.HY-S19 , CDX.NA.HY-S20 , CDX.NA.HY-S21 , CDX.NA.HY-S219 , CDX.NA.HY-S22 , CDX.NA.HY-S23 , CDX.NA.HY-S24 , CDX.NA.HY-S25 , CDX.NA.HY-S26 , CDX.NA.HY-S27 , CDX.NA.HY-S28 , CDX.NA.HY-S29 , CDX.NA.HY-S30 , CDX.NA.HY-S31 , CDX.NA.HY-S32 , CDX.NA.HY-S33 , CDX.NA.HY-S34 , CDX.NA.HY-S35 , CDX.NA.HY-S36 , CDX.NA.HY-S4 , CDX.NA.HY-S7 , CDX.NA.HY-S8 , CDX.NA.HY-S9 , CDX.NA.IG-I27 , CDX.NA.IG-S , CDX.NA.IG-S09 , CDX.NA.IG-S10 , CDX.NA.IG-S11 , CDX.NA.IG-S12 , CDX.NA.IG-S13 , CDX.NA.IG-S14 , CDX.NA.IG-S15 , CDX.NA.IG-S16 , CDX.NA.IG-S17 , CDX.NA.IG-S18 , CDX.NA.IG-S19 , CDX.NA.IG-S20 , CDX.NA.IG-S21 , CDX.NA.IG-S22 , CDX.NA.IG-S23 , CDX.NA.IG-S24 , CDX.NA.IG-S25 , CDX.NA.IG-S26 , CDX.NA.IG-S27 , CDX.NA.IG-S28 , CDX.NA.IG-S29 , CDX.NA.IG-S30 , CDX.NA.IG-S31 , CDX.NA.IG-S32 , CDX.NA.IG-S33 , CDX.NA.IG-S34 , CDX.NA.IG-S35 , CDX.NA.IG-S36 , CDX.NA.IG-S5 , CDX.NA.IG-S6 , CDX.NA.IG-S7 , CDX.NA.IG-S8 , CDX.NA.IG-S9 , EuroYen Future , Eurodollar Future , IOS.FN30.-S , IOS.FN30.300-S12 , IOS.FN30.300-S13 , IOS.FN30.350-S10 , IOS.FN30.350-S12 , IOS.FN30.350-S13 , IOS.FN30.400-S09 , IOS.FN30.400-S10 , IOS.FN30.400-S11 , IOS.FN30.400-S13 , IOS.FN30.400-S9 , IOS.FN30.400.10 , IOS.FN30.450-S09 , IOS.FN30.450-S10 , IOS.FN30.450-S11 , IOS.FN30.450-S12 , IOS.FN30.450-S9 , IOS.FN30.500-S09 , IOS.FN30.500-S10 , IOS.FN30.500-S12 , IOS.FN30.500-S3 , IOS.FN30.500-S5 , IOS.FN30.500-S8 , IOS.FN30.500-S9 , IOS.FN30.550-S8 , IOS.FN30.600-S8 , IOS.FN30.650-S67 , IOS.FN30.650-S7 , IOS.FN335.350-S13 , IOS.FN35.350-S13 , IOS.FN35.350-S14 , IOS.FN40.400-S14 , IOS.GII30.500-S10 , LUACTRUU , MBX.FN30.450-S10 , MBX.FN30.450-S9 , MBX.FN30.500-S10 , MBX.FN30.500-S8 , MBX.FN30.500-S9 , MBX.FN30.550-S8 , MBX.FN30.600-S8 , MBX.GII30.450-S10 , MBX.GII30.500-S10 , MCDX.NA-S10 , MCDX.NA-S12 , MCDX.NA-S13 , MCDX.NA-S14 , MCDX.NA-S15 , MCDX.NA-S16 , MCDX.NA-S17 , MCDX.NA-S18 , MCDX.NA-S19 , MCDX.NA-S20 , MCDX.NA-S21 , MCDX.NA-S22 , MCDX.NA-S23 , MCDX.NA-S24 , MCDX.NA-S25 , MCDX.NA-S26 , MPC SONIA Future , MXN Funding TIIE Future , Quarterly IMM SONIA Future , U.S. Treasury Bond Future , Ultra 10YR T-Note Future , Ultra U.S. Treasury Bond Future , iBoxx , iTraxxAsiaIG-S18 , iTraxxAsiaIG-S19 , iTraxxAsiaIG-S20 , iTraxxAsiaIG-S22 , iTraxxAsiaIG-S23 , iTraxxAsiaIG-S24 , iTraxxAsiaIG-S25 , iTraxxAsiaIG-S26 , iTraxxAsiaIG-S27 , iTraxxAsiaIG-S28 , iTraxxAsiaIG-S29 , iTraxxAsiaIG-S30 , iTraxxAsiaIG-S31 , iTraxxAsiaIG-S32 , iTraxxAsiaIG-S33 , iTraxxAsiaIG-S34 , iTraxxAsiaIG-S35 , iTraxxAustralia-S20 , iTraxxAustralia-S21 , iTraxxAustralia-S22 , iTraxxAustralia-S23 , iTraxxAustralia-S24 , iTraxxAustralia-S25 , iTraxxAustralia-S26 , iTraxxAustralia-S27 , iTraxxAustralia-S28 , iTraxxAustralia-S29 , iTraxxAustralia-S30 , iTraxxAustralia-S31 , iTraxxAustralia-S32 , iTraxxAustralia-S33 , iTraxxAustralia-S34 , iTraxxAustralia-S35 , iTraxxCEEMEA-S9 , iTraxxEurope-S11 , iTraxxEurope-S13 , iTraxxEurope-S14 , iTraxxEurope-S15 , iTraxxEurope-S16 , iTraxxEurope-S17 , iTraxxEurope-S18 , iTraxxEurope-S19 , iTraxxEurope-S20 , iTraxxEurope-S21 , iTraxxEurope-S22 , iTraxxEurope-S23 , iTraxxEurope-S24 , iTraxxEurope-S25 , iTraxxEurope-S26 , iTraxxEurope-S27 , iTraxxEurope-S28 , iTraxxEurope-S29 , iTraxxEurope-S30 , iTraxxEurope-S31 , iTraxxEurope-S32 , iTraxxEurope-S33 , iTraxxEurope-S34 , iTraxxEurope-S35 , iTraxxEurope-S7 , iTraxxEurope-S8 , iTraxxEurope-S9 , iTraxxEuropeCrossOver-S14 , iTraxxEuropeCrossOver-S15 , iTraxxEuropeCrossOver-S16 , iTraxxEuropeCrossOver-S17 , iTraxxEuropeCrossOver-S18 , iTraxxEuropeCrossOver-S19 , iTraxxEuropeCrossOver-S20 , iTraxxEuropeCrossOver-S21 , iTraxxEuropeCrossOver-S22 , iTraxxEuropeCrossOver-S23 , iTraxxEuropeCrossOver-S24 , iTraxxEuropeCrossOver-S25 , iTraxxEuropeCrossOver-S26 , iTraxxEuropeCrossOver-S27 , iTraxxEuropeCrossOver-S28 , iTraxxEuropeCrossOver-S29 , iTraxxEuropeCrossOver-S30 , iTraxxEuropeCrossOver-S31 , iTraxxEuropeCrossOver-S32 , iTraxxEuropeCrossOver-S33 , iTraxxEuropeCrossOver-S34 , iTraxxEuropeCrossOver-S35 , iTraxxEuropeHiVol-S12 , iTraxxEuropeHiVol-S20 , iTraxxEuropeHiVol-S21 , iTraxxEuropeHiVol-S8 , iTraxxEuropeSeniorFinancial-S15 , iTraxxEuropeSeniorFinancial-S16 , iTraxxEuropeSeniorFinancial-S17 , iTraxxEuropeSeniorFinancial-S18 , iTraxxEuropeSeniorFinancial-S19 , iTraxxEuropeSeniorFinancial-S20 , iTraxxEuropeSeniorFinancial-S21 , iTraxxEuropeSeniorFinancial-S22 , iTraxxEuropeSeniorFinancial-S23 , iTraxxEuropeSeniorFinancial-S24 , iTraxxEuropeSeniorFinancial-S25 , iTraxxEuropeSeniorFinancial-S26 , iTraxxEuropeSeniorFinancial-S27 , iTraxxEuropeSeniorFinancial-S28 , iTraxxEuropeSeniorFinancial-S29 , iTraxxEuropeSeniorFinancial-S30 , iTraxxEuropeSeniorFinancial-S31 , iTraxxEuropeSeniorFinancial-S32 , iTraxxEuropeSeniorFinancial-S33 , iTraxxEuropeSeniorFinancial-S34 , iTraxxEuropeSeniorFinancial-S35 , iTraxxEuropeSubFinancial-S20 , iTraxxEuropeSubFinancial-S21 , iTraxxEuropeSubFinancial-S22 , iTraxxEuropeSubFinancial-S23 , iTraxxEuropeSubFinancial-S24 , iTraxxEuropeSubFinancial-S25 , iTraxxEuropeSubFinancial-S26 , iTraxxEuropeSubFinancial-S27 , iTraxxEuropeSubFinancial-S28 , iTraxxEuropeSubFinancial-S29 , iTraxxEuropeSubFinancial-S30 , iTraxxEuropeSubFinancial-S31 , iTraxxEuropeSubFinancial-S32 , iTraxxEuropeSubFinancial-S33 , iTraxxEuropeSubFinancial-S34 , iTraxxEuropeSubFinancial-S35 , iTraxxJapanIG-S17 , iTraxxJapanIG-S18 , iTraxxJapanIG-S19 , iTraxxJapanIG-S20 , iTraxxJapanIG-S21 , iTraxxJapanIG-S22 , iTraxxJapanIG-S23 , iTraxxJapanIG-S24 , iTraxxJapanIG-S25 , iTraxxJapanIG-S26 , iTraxxJapanIG-S27 , iTraxxJapanIG-S28 , iTraxxJapanIG-S29 , iTraxxJapanIG-S30 , iTraxxJapanIG-S31 , iTraxxJapanIG-S32 , iTraxxSovXCEEMEA-SS10
dco
Optional
DCO ASX , Bilateral , CME , ICE , JSCC , LCH , N/A , Unknown
refIndex
Optional
RefIndex IBOR , Other , RFR
group
Optional
Group SEF,AssetClass assetClass , currency , currencyPair , dco , month , productType , refIndex , reportDate , security , sef , tenor , venueType , week
display
Optional
Display VolumeUSDMM 5YIRDEqUSDMM , BlockUSDMM , NonBlockUSDMM , USDDV01 , Volume , VolumeUSDMM
drilldown
Optional
Drilldown false false , true
excludeFilterParams
Optional
ExcludeFilterParams
import clarus

response = clarus.sef.volume()
print (response)
import com.clarusft.api.model.sef.VolumeRequest
import com.clarusft.api.model.sef.VolumeResponse

ApiClient clarus = ApiClient.getDefault();
VolumeResponse response = clarus.request(new VolumeRequest());
System.out.println(response);
import Clarus

response = Clarus.Sef.volume()
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('sef', 'Volume')
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('sef', 'Volume')
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 = ();

my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'sef/';
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 = {}

r = request('sef', 'Volume', params)
ca = toCellArray(r);

ca

Request Body

Submit to generate...
Response

Submit to generate...

{ }