NEWS.md

In dataonderivatives: Easily Source Publicly Available Data on Derivatives

Version 0.4.0

• Rebuild package from the ground up.
  • All functions make use of httr2 rather than a mix of httr and base::download.file().
  • Now requires R 4.1.0 or greater to allow use of new native syntax for anonymous functions and pipes.
• bsef() now takes a start and end date reflecting updates to the API.
• ddr():
  • Support for field_specs argument has been dropped. This was not robust and is better handled by users.
  • Instead, it now guesses field specs from all ingested records. You can show the specs by setting the show_col_types argument to TRUE.
  • You can now download files for days after 30 Nov 2020 (fixes #33).
• cme():
  • Support for field_specs argument has been dropped. This was not robust and is better handled by users.
  • Instead, it now guesses field specs from all ingested records. You can show the specs by setting the show_col_types argument to TRUE.

Version 0.3.2

• Remove BSDR from package as the service has ceased and CFTC registration withdrawn (#32)

Version 0.3.1

• Fixed BSDR payload which caused bsdr() to fail (#28)
• Published a package website
• Added code coverage

Version 0.3.0

NEW:

• bsdr() to retrieve Bloomberg SDR data (also closes #23)
• bsef() to retrieve Bloomberg SEF data
• ddr() to retrieve DTCC Data Repository data (also closes #25)
• cme() to retrieve CME SDR data

DEFUNCT:

• get_bsdr_data() is defunct. Use the new function bsdr() instead which has a different interface to get_bsdr_data().
• get_bsef_data() is defunct. Use the new function bsef() instead which has a different interface to get_bsef_data().
• get_ddr_data() is defunct. Use the new function ddr() instead which has a different interface to get_ddr_data().
• get_cme_data() is defunct. Use the new function cme() instead which has a different interface to get_cme_data().

OTHER:

• Bumped minimum version requirements for R as well as readr, httr and utils packages. The latter to ensure that downloader::download() can be replaced by an implementation of utils::download.file() that supports https: URLs.
• Replaced calls to httr::url_ok() with expressions containing httr::status_code() as the former is deprecated
• Expanded CI support to macOS (Travis) and Windows (Appveyor)

Version 0.2.1

• Network dependent tests disabled on CRAN as they may not be reliable.
• Suppress CME warnings. Their FTP server demonstrates poor behaviour for non-existent files.

Version 0.2.0

• Added ability to source trade data from SDRs (DTCC, Bloomberg and CME) (#7)
• Can now specify asset_class in get_bsef_data(). Defaults to downloading data for all asset classes
• Getters return an empty data frame if data is unavailable for the date requested (#16)
• Can now specify whether or not raw data extracted from various data sources should be processed or not using the curate argument.
• Deprecated ICAP SEF capabilities (unstable)
• Removed packrat-sourced download() method in favour of downloader package (#12)
• Messages are no longer printed to the REPL (#18)

Version 0.1.0

• Implemented ability to access Bloomberg and ICAP SEF data

dataonderivatives documentation built on Jan. 4, 2022, 5:07 p.m.