swap_trades

Get swap transaction and pricing data disseminated by DTCC.

Examples

from openbb import obb
obb.cftc.swap_trades(provider='cftc')
# Get USD SOFR swap transactions reported on a given date.
obb.cftc.swap_trades(asset_class='rates', currency='USD', underlier='SOFR', action_type='NEWT', provider='cftc')
# Get large cleared credit transactions.
obb.cftc.swap_trades(asset_class='credits', cleared='Y', min_notional=50000000, provider='cftc')

Parameters

• standard
• cftc

asset_class: str | None
Default: rates
Asset class of the transactions. Only the two priceable classes are offered: rates, valued against the DTCC-reported curve, and forex. Credit index prints have their own CDS Index Trades endpoint.

start_date: date | None | str
Start of the report-date window (UTC). Default is the end date, a single day. Every day in the window is a separately published file, so a long window is a proportionally larger download.

end_date: date | None
End of the report-date window (UTC). Default is the most recent date whose file holds transactions matching the query; a file is published every calendar day, but weekends and holidays carry almost none. Retained 366 days.

currency: str | None
Filter by the leg 1 notional currency. E.g., 'USD'.

underlier: str | None
Filter by UPI underlier name, matched as a case-insensitive substring. E.g., 'SOFR'.

upi_fisn: str | None
Filter by UPI FISN, matched as a case-insensitive substring. E.g., 'Swap OIS'.

ticker: str | None
Filter to the exact UPI ticker, the Unique Product Identifier the source's TICKER report keys on. E.g., 'QZXQ4R16245X' for a SOFR OIS. The window is answered by the source's search API, one filtered query across the date range, cached per day.

action_type: str | None
Filter by action type. E.g., 'NEWT' for new trades.

cleared: bool | None
Filter by whether the transaction is centrally cleared. True keeps cleared and intent-to-clear trades (Cleared 'Y' or 'I'); False keeps bilateral trades (Cleared 'N').

trade_type: str | None
Filter by trade-type family, for the rates asset class: 'spot' and 'forward' are single-currency fixed-vs-floating swaps in a recognized curve family, split by whether the trade has already started; 'basis' floats two indices in the same currency against each other; 'cross_currency' floats two different currencies; 'inflation' is a zero-coupon swap of a fixed breakeven against a published price index. Ignored outside the rates asset class.

min_notional: float | None
Filter out transactions with a leg 1 notional below this amount.

max_notional: float | None
Filter out transactions with a leg 1 notional above this amount.

limit: int | None
Number of transactions to return. Default is all matching.

use_cache: bool | None
Default: True
Cache the daily file locally, revalidating it against the source ETag.

---

Returns

results: CftcSwapTrades

Serializable results.

provider: str | None

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

---

Data

• standard
• cftc

trade_key: str | None
Asset-class-qualified dissemination identifier, e.g. 'IR:4402189634000000101'. The qualifier keeps the 19-digit identifier out of IEEE-754 double range, which truncates it past its 16th digit.

action_type: str | None
Action performed on the transaction: NEWT, MODI, CORR, TERM, EROR, or REVI.

event_type: str | None
Event giving rise to the report: TRAD, COMP, ETRM, NOVA, EXER, or CLRG.

event_timestamp: datetime | None
Event timestamp.

amendment_indicator: bool | None
Amendment indicator.

asset_class: str | None
Asset class of the transaction.

product_name: str | None
Product name. Superseded by the UPI fields and no longer populated.

cleared: str | None
Clearing status: Y (cleared), N (not cleared), or I (intent to clear).

mandatory_clearing_indicator: bool | None
Mandatory clearing indicator.

execution_timestamp: datetime | None
Execution Timestamp.

effective_date: date | None
Effective Date.

expiration_date: date | None
Expiration Date.

maturity_date_of_the_underlier: date | None
Maturity date of the underlier.

non_standardized_term_indicator: bool | None
Non standardized term indicator.

platform_identifier: str | None
MIC of the execution venue.

prime_brokerage_transaction_indicator: bool | None
Prime brokerage transaction indicator.

block_trade_election_indicator: bool | None
Block trade election indicator.

large_notional_off_facility_swap_election_indicator: bool | None
Large notional off facility swap election indicator.

notional_amount_leg_1: float | None
Notional amount of leg 1. Values above the cap are disseminated at the cap.

notional_amount_leg_2: float | None
Notional amount of leg 2. Values above the cap are disseminated at the cap.

notional_currency_leg_1: str | None
Notional currency Leg 1.

notional_currency_leg_2: str | None
Notional currency Leg 2.

notional_quantity_leg_1: float | None
Notional quantity Leg 1.

notional_quantity_leg_2: float | None
Notional quantity Leg 2.

total_notional_quantity_leg_1: float | None
Total notional quantity Leg 1.

total_notional_quantity_leg_2: float | None
Total notional quantity Leg 2.

quantity_frequency_multiplier_leg_1: float | None
Quantity frequency multiplier Leg 1.

quantity_frequency_multiplier_leg_2: float | None
Quantity frequency multiplier Leg 2.

quantity_unit_of_measure_leg_1: str | None
Quantity unit of measure Leg 1.

quantity_unit_of_measure_leg_2: str | None
Quantity unit of measure Leg 2.

quantity_frequency_leg_1: str | None
Quantity frequency Leg 1.

quantity_frequency_leg_2: str | None
Quantity frequency Leg 2.

notional_amount_in_effect_on_associated_effective_date_leg_1: str | None
Notional amount in effect on associated effective date Leg 1.

notional_amount_in_effect_on_associated_effective_date_leg_2: str | None
Notional amount in effect on associated effective date Leg 2.

effective_date_of_the_notional_amount_leg_1: str | None
Effective date of the notional amount Leg 1.

effective_date_of_the_notional_amount_leg_2: str | None
Effective date of the notional amount Leg 2.

end_date_of_the_notional_amount_leg_1: str | None
End date of the notional amount Leg 1.

end_date_of_the_notional_amount_leg_2: str | None
End date of the notional amount Leg 2.

call_amount: float | None
Call amount.

call_currency: str | None
Call currency.

put_amount: float | None
Put amount.

put_currency: str | None
Put currency.

exchange_rate: float | None
Exchange rate.

exchange_rate_basis: str | None
Exchange rate basis.

first_exercise_date: date | None
First exercise date.

fixed_rate_leg_1: float | None
Fixed rate of leg 1, expressed as a decimal.

fixed_rate_leg_2: float | None
Fixed rate of leg 2, expressed as a decimal.

option_premium_amount: float | None
Option Premium Amount.

option_premium_currency: str | None
Option Premium Currency.

price: float | None
Price.

price_unit_of_measure: str | None
Price unit of measure.

spread_leg_1: float | None
Spread Leg 1.

spread_leg_2: float | None
Spread Leg 2.

spread_currency_leg_1: str | None
Spread currency Leg 1.

spread_currency_leg_2: str | None
Spread currency Leg 2.

strike_price: float | None
Strike Price.

strike_price_currency_currency_pair: str | None
Strike price currency/currency pair.

post_priced_swap_indicator: bool | None
Post priced swap indicator.

price_currency: str | None
Price currency.

price_notation: str | None
Price notation.

spread_notation_leg_1: str | None
Spread notation Leg 1.

spread_notation_leg_2: str | None
Spread notation Leg 2.

strike_price_notation: str | None
Strike price notation.

fixed_rate_day_count_convention_leg_1: str | None
ISO 20022 day count code for the leg 1 fixed rate.

fixed_rate_day_count_convention_leg_2: str | None
ISO 20022 day count code for the leg 2 fixed rate.

floating_rate_day_count_convention_leg_1: str | None
ISO 20022 day count code for the leg 1 floating rate.

floating_rate_day_count_convention_leg_2: str | None
ISO 20022 day count code for the leg 2 floating rate.

floating_rate_reset_frequency_period_leg_1: str | None
Floating rate reset frequency period leg 1.

floating_rate_reset_frequency_period_leg_2: str | None
Floating rate reset frequency period leg 2.

floating_rate_reset_frequency_period_multiplier_leg_1: float | None
Floating rate reset frequency period multiplier leg 1.

floating_rate_reset_frequency_period_multiplier_leg_2: float | None
Floating rate reset frequency period multiplier leg 2.

other_payment_amount: str | None
Other payment amount.

fixed_rate_payment_frequency_period_leg_1: str | None
Fixed rate payment frequency period Leg 1.

floating_rate_payment_frequency_period_leg_1: str | None
Floating rate payment frequency period Leg 1.

fixed_rate_payment_frequency_period_leg_2: str | None
Fixed rate payment frequency period Leg 2.

floating_rate_payment_frequency_period_leg_2: str | None
Floating rate payment frequency period Leg 2.

fixed_rate_payment_frequency_period_multiplier_leg_1: float | None
Fixed rate payment frequency period multiplier Leg 1.

floating_rate_payment_frequency_period_multiplier_leg_1: float | None
Floating rate payment frequency period multiplier Leg 1.

fixed_rate_payment_frequency_period_multiplier_leg_2: float | None
Fixed rate payment frequency period multiplier Leg 2.

floating_rate_payment_frequency_period_multiplier_leg_2: float | None
Floating rate payment frequency period multiplier Leg 2.

other_payment_type: str | None
Other payment type.

other_payment_currency: str | None
Other payment currency.

settlement_currency_leg_1: str | None
Settlement currency Leg 1.

settlement_currency_leg_2: str | None
Settlement currency Leg 2.

settlement_location: str | None
Settlement location.

collateralisation_category: str | None
Collateralisation category.

custom_basket_indicator: bool | None
Custom basket indicator.

index_factor: float | None
Index factor.

underlier_id_leg_1: str | None
Underlier ID Leg 1.

underlier_id_leg_2: str | None
Underlier ID Leg 2.

underlier_id_source_leg_1: str | None
Underlier ID source Leg 1.

underlying_asset_name: str | None
Underlying Asset Name.

underlying_asset_subtype_or_underlying_contract_subtype_leg_1: str | None
Underlying asset subtype or underlying contract subtype Leg 1.

underlying_asset_subtype_or_underlying_contract_subtype_leg_2: str | None
Underlying asset subtype or underlying contract subtype Leg 2.

embedded_option_type: str | None
Embedded Option type.

option_type: str | None
Option Type.

option_style: str | None
Option Style.

package_indicator: bool | None
Package indicator.

package_transaction_price: float | None
Package transaction price.

package_transaction_price_currency: str | None
Package transaction price currency.

package_transaction_price_notation: str | None
Package transaction price notation.

package_transaction_spread: float | None
Package transaction spread.

package_transaction_spread_currency: str | None
Package transaction spread currency.

package_transaction_spread_notation: str | None
Package transaction spread notation.

physical_delivery_location_leg_1: str | None
Physical delivery location Leg 1.

delivery_type: str | None
Delivery Type.

unique_product_identifier: str | None
ISO 4914 Unique Product Identifier (UPI).

upi_fisn: str | None
Financial Instrument Short Name associated with the UPI.

upi_underlier_name: str | None
Name of the underlier associated with the UPI.

is_capped: bool | None
Whether any amount on the transaction was disseminated at a reporting cap rather than its true value.

trade_type: str | None
Trade-type family for a rates-asset-class print: 'spot', 'forward', 'basis', or 'cross_currency'. Not populated for other asset classes.