OTC derivatives data
Liquidity and pricing in the over-the-counter (OTC) derivative markets have tended to have less transparency 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.
Swap execution facilities
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 to 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.
Swap data repositories
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.
dataonderivatives
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).
Usage
You can download daily trade data executed on the BloombergSEF:
library("dataonderivatives")
library("dplyr")
#>
#> Attaching package: 'dplyr'
#>
#> The following objects are masked from 'package:stats':
#>
#> filter, lag
#>
#> The following objects are masked from 'package:base':
#>
#> intersect, setdiff, setequal, union
# All asset classes
get_bsef_data(lubridate::ymd(20150504))
#> Source: local data frame [94 x 13]
#>
#> tradeDate assetclass security currency priceOpen
#> (time) (chr) (chr) (chr) (dbl)
#> 1 2015-05-04 CR CDX EM CDSI S23 5Y PRC USD 90.860000
#> 2 2015-05-04 CR CDX IG CDSI S22 5Y USD 54.690000
#> 3 2015-05-04 CR MARKIT CDX.NA.HY.24 06/20 ICE USD 107.375000
#> 4 2015-05-04 CR CDX IG CDSI S23 5Y USD 62.240000
#> 5 2015-05-04 CR CDX HY CDSI S23 5Y PRC USD 108.420000
#> 6 2015-05-04 CR CDX HY CDSI S24 5Y PRC USD 107.350000
#> 7 2015-05-04 CR CDX IG CDSI S24 5Y USD 62.570000
#> 8 2015-05-04 FX NDF-EURBRL-EUR-20150617 EUR 3.490216
#> 9 2015-05-04 FX NDF-USDBRL-BRL-1M USD 3.120800
#> 10 2015-05-04 FX NDF-USDBRL-USD-1M USD 3.123700
#> .. ... ... ... ... ...
#> Variables not shown: priceHigh (dbl), priceLow (dbl), priceClose (dbl),
#> settlementPrice (dbl), totalVolume (dbl), blockTradeVolume (dbl),
#> totalVolumeUsd (dbl), blockTradeVolumeUsd (chr)
# IR and FX classes only
get_bsef_data(lubridate::ymd(20150504), c("IR", "FX")) %>%
group_by(assetclass) %>% summarise(n = n())
#> Source: local data frame [2 x 2]
#>
#> assetclass n
#> (chr) (int)
#> 1 FX 38
#> 2 IR 49You can also download the data reported to the DTCC's SDR:
# All asset classes
get_ddr_data(lubridate::ymd(20150504))
#> Source: local data frame [36,517 x 44]
#>
#> DISSEMINATION_ID ORIGINAL_DISSEMINATION_ID ACTION EXECUTION_TIMESTAMP
#> (int) (int) (chr) (time)
#> 1 28755102 NA NEW 2015-05-04 02:42:42
#> 2 28755189 NA NEW 2015-05-04 02:55:00
#> 3 28755566 NA NEW 2015-05-04 03:29:00
#> 4 28755945 NA NEW 2015-05-04 04:32:00
#> 5 28769182 NA NEW 2015-05-04 09:34:51
#> 6 28769303 NA NEW 2015-04-30 13:49:30
#> 7 28772218 NA NEW 2015-05-04 11:57:00
#> 8 28771949 NA NEW 2015-05-04 11:36:30
#> 9 28771950 NA NEW 2015-05-04 11:36:31
#> 10 28772976 NA NEW 2015-05-04 12:36:45
#> .. ... ... ... ...
#> Variables not shown: CLEARED (chr), 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 (dbl), ROUNDED_NOTIONAL_AMOUNT_2 (dbl),
#> 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 (date),
#> OPTION_EXPIRATION_DATE (date), PRICE_NOTATION2_TYPE (chr),
#> PRICE_NOTATION2 (dbl), PRICE_NOTATION3_TYPE (chr), PRICE_NOTATION3 (dbl)
# IR and FX classes only
get_ddr_data(lubridate::ymd(20150504), c("IR", "FX")) %>%
group_by(ASSET_CLASS) %>% summarise(n = n())
#> Source: local data frame [2 x 2]
#>
#> ASSET_CLASS n
#> (chr) (int)
#> 1 FX 9379
#> 2 IR 3531