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A view on iTraxx Europe reported trades the day after the Brexit poll. Each bubble is a trade according to its size and trading level.
Dark bubbles are trade reported early in morning, light bubble are trades reported late in the afternoon.

How to use SDRs with the Python API

Published December 7, 2016 by Gautier Marti

Visualize reported trades

Using the API, you can easily request the SDR to load and display historical data. For example, in the graph below, we display all the reported trades of CDXIG5 from Bloomberg SDR. Dots representing reported trades are colored by the index vintage. We can notice that most of the trades are on the on-the-run version of the index.

Reported CDXIG5 volumes and prices

Know when it trades the most

Using the API, you can load SDR data at the timezone of your choice to know when it trades the most by looking at the daily average of reported trading volumes by hours. For example, choosing 'London time' we can see that the most active trading hours are between 2pm and 3pm when both US and European markets are open. That is, in the afternoon for European indices (ITXEB5, ITXEX5, ITXES5), but in the morning (local time) for the US index CDXIG5.

Reported volumes

Which sizes are traded by market participants?

Using the API, you can compute and display summary statistics such as the number of trades by trade-sizes. For example, we can see that ITXEX5 usually trades in small sizes (more than 1/3 trades are 10mm) whereas CDXIG5 trades are usually bigger (more than 1/4 trades are over 100mm).

Trade sizes proportion

What can be the next trade?

Using the API, you can try to discover more elaborated research ideas from the SDRs. For example, using the real-time data feed you can try to predict what can be traded next?

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