nyfedapi 0.0.1

A Python wrapper to easily retrieve data from the Federal Reserve Bank of New York (FRBoNY) official API in pandas format.

nyfedapi

This repository contains a Python wrapper to easily retrieve data from the Federal Reserve Bank of New York (FRBoNY) official API in pandas format.

Overview

The Markets Data APIs are provided to external users and applications to request data from the Federal Reserve Bank of New York. FRBoNY's API does not require tokens or registration, so feel free to use it immediately.

There are ten databases with their endpoints that the FRBoNY has exposed to the public:

• Agency Mortgage-Backed Securities Operations
• Central Bank Liquidity Swaps Operations
• Guide Sheets
• Primary Dealer Statistics
• Primary Dealer Statistics Market Share
• Reference Rates
• Repo and Reverse Repo Operations
• Securities Lending Operations
• System Open Market Account Holdings
• Treasury Securities Operations

Requirements

• Python 3.9 or higher.
• Requests
• Pandas

Installation

pip install nyfedapi

Agency Mortage-Backed Securities Operations

ambs.latest

Returns the latest AMBS operation Announcements or Results for the current day.

from nyfedapi import ambs
df = ambs.latest(operation, status, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales", "roll", "swap"]
status	str	The operation status. Available values: ["announcements", "results"]
include	str	The level of details to include. Available values: ["summary", "details"]

Returns

• pd.DataFrame: A DataFrame containing the latest AMBS operation announcements or results for the current day.

ambs.results_last_two_weeks

Returns the last two weeks AMBS operations Results.

from nyfedapi import ambs
df = ambs.results_last_two_weeks(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales", "roll", "swap"]
include	str	The level of details to include. Available values: ["summary", "details"]

Returns

• pd.DataFrame: A DataFrame containing the last two weeks AMBS operations results.

ambs.results_last_number

Returns the last N number of AMBS operations Results.

from nyfedapi import ambs
df = ambs.results_last_two_weeks(operation, include, number)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales", "roll", "swap"]
include	str	The level of details to include. Available values: ["summary", "details"]
number	int	The last N amount of operations to return.

Returns

• pd.DataFrame: A DataFrame containing the last N number of AMBS operations results.

ambs.results_search

Returns AMBS operations Results.

from nyfedapi import ambs
df = ambs.results_search(operation, include, **kwargs)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales", "roll", "swap"]
include	str	The level of details to include. Available values: ["summary", "details"]
start_date	str	The start date (inclusive) from which to search. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD.
securities	str	Filter by securities (Operation Method). Available values: ["Basket", "Coupon Swap", "Dollar Roll", "Specified Pool", "TBA"]
cusip	str	Only return operations which include the given CUSIP. Partial identifiers are accepted.
desc	str	Only return operations which include the given Security Description. Partial identifiers are accepted.

Returns

• pd.DataFrame: A DataFrame containing the AMBS operations results.

Central Bank Liquidity Swaps Operations

fxs.latest

Returns the latest Liquidity Swaps operation Results posted on current day.

from nyfedapi import fxs
df = fxs.latest(operation_type)

Parameters

Parameter	Type	Description
operation_type	str	The operation type to search for. Available values: ["all", "usdollar", "nonusdollar"]

Returns

• pd.DataFrame: A DataFrame containing the latest Liquidity Swaps operation results posted on current day.

fxs.last_number

Returns the last N number of Liquidity Swaps operations Results.

from nyfedapi import fxs
df = fxs.last_number(operation_type, number)

Parameters

Parameter	Type	Description
operation_type	str	The operation type to search for. Available values: ["all", "usdollar", "nonusdollar"]
number	int	The last N amount of trades to return

Returns

• pd.DataFrame: A DataFrame containing the last N number of Liquidity Swaps operations results.

fxs.search

Returns Liquidity Swaps operation Results.

from nyfedapi import fxs
df = fxs.search(operation_type, **kwargs)

Parameters

Parameter	Type	Description
operation_type	str	The operation type to search for. Available values: ["all", "usdollar", "nonusdollar"]
start_date	str	The start date (inclusive) from which to search, depending on date type. Defaults to current date. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search, depending on date type. Format YYYY-MM-DD.
date_type	str	The date type to search for within the start and end. Defaults to trade date. Available values : ["trade", "maturity"]
counterparties	str	A comma-separated list of counterparty names to search for. Partial names are accepted.

Returns

• pd.DataFrame: A DataFrame containing Liquidity Swaps operation Results.

fxs.counterparties

Returns Counterparties of Liquidity Swaps operations.

from nyfedapi import fxs
df = fxs.counterparties()

Returns

• pd.DataFrame: A DataFrame containing counterparties of Liquidity Swaps operations.

Guide Sheets

guidesheets.latest

Returns the latest Guide Sheet. Work in Progress (WIP).

from nyfedapi import guidesheets
df = guidesheets.latest()

Parameters

Parameter	Type	Description
guidesheet_type	str	The guide sheet type. Available values: ["si", "wi", "fs"]

Returns

• pd.DataFrame: A DataFrame containing the latest Guide Sheet.

guidesheets.previous

Returns the previous Guide Sheet. Work in Progress (WIP).

from nyfedapi import guidesheets
df = guidesheets.previous()

Parameters

Parameter	Type	Description
guidesheet_type	str	The guide sheet type. Available values: ["si", "wi", "fs"]

Returns

• pd.DataFrame: A DataFrame containing the latest Guide Sheet.

Primary Dealer Statistics

pd.latest

Returns the latest Survey results for each timeseries.

from nyfedapi import pd
df = pd.latest()

Parameters

Parameter	Type	Description
seriesbreak	str	A valid series break value.

Returns

• pd.DataFrame: A DataFrame containing the latest Survey results for each timeseries.

pd.get_all_timeseries

Returns all Survey results.

from nyfedapi import pd
df = pd.get_all_timeseries()

Returns

• pd.DataFrame: A DataFrame containing all Survey results.

pd.list_timeseries

Returns Description of timeseries/keyids.

from nyfedapi import pd
df = pd.list_timeseries()

Returns

• pd.DataFrame: A DataFrame containing description of timeseries/keyids.

pd.list_asof

Returns all As Of Dates with respective Series Break.

from nyfedapi import pd
df = pd.list_asof()

Returns

• pd.DataFrame: A DataFrame containing all as of dates with respective series break.

pd.list_seriesbreaks

Returns Series Breaks including Label, Start and End Date.

from nyfedapi import pd
df = pd.list_seriesbreaks()

Returns

• pd.DataFrame: A DataFrame containing series breaks including label, start and end date.

pd.get_asof

Returns single date Survey results.

from nyfedapi import pd
df = pd.get_asof()

Parameters

Parameter	Type	Description
date	str	The time series as of date. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing single date survey results.

pd.get_timeseries

Return Survey results for given timeseries across all Series Breaks. To query multiple timeseries, separate each with underscore(_).

from nyfedapi import pd
df = pd.get_timeseries()

Parameters

Parameter	Type	Description
timeseries	str	A list of time series ids separated by underscores.

Returns

• pd.DataFrame: A DataFrame containing survey results for given timeseries across all series breaks.

pd.get_seriesbreaks_timeseries

Return Survey results for given timeseries across all Series Breaks. To query multiple timeseries, separate each with underscore(_).

from nyfedapi import pd
df = pd.get_seriesbreaks_timeseries()

Parameters

Parameter	Type	Description
seriesbreaks	str	A valid series break value.
timeseries	str	A list of valid time series separated with underscores.

Returns

• pd.DataFrame: A DataFrame containing survey results for given timeseries across all series breaks.

Primary Dealer Statistics Market Share

marketshare.qtrly_latest

Returns the latest quarterly Market Share.

from nyfedapi import marketshare
df = marketshare.qtrly_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest quarterly market share.

marketshare.ytd_latest

Returns the latest year-to-date Market Share.

from nyfedapi import marketshare
df = marketshare.ytd_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest year-to-date market share.

Reference Rates

rates.all_latest

Returns the latest secured and unsecured rates.

from nyfedapi import rates
df = rates.all_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest secured and unsecured rates.

rates.all_search

Returns the latest secured and unsecured rates.

from nyfedapi import rates
df = rates.all_search()

Parameters

Parameter	Type	Description
start_date	str	The start date (inclusive) from which to search. Defaults to the current date. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD.
type	str	The report type to return. Available values : ["rate", "volume"]

Returns

• pd.DataFrame: A DataFrame containing the latest secured and unsecured rates.

rates.secured_all_latest

Returns the latest secured rates.

from nyfedapi import rates
df = rates.secured_all_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest secured rates.

rates.secured_last_number

Returns the last N number of secured rates.

from nyfedapi import rates
df = rates.secured_last_number(rate_type, number)

Parameters

Parameter	Type	Description
rate_type	str	The rate type. Available values : ["tgcr", "bgcr", "sofr", "sofrai"]
number	int	The last N amount of rates to return.

Returns

• pd.DataFrame: A DataFrame containing the last N number of secured rates.

rates.secured_search

Returns secured rates and/or volume.

from nyfedapi import rates
df = rates.secured_search(rate_type, **kwargs)

Parameters

Parameter	Type	Description
rate_type	str	The rate type. Available values : ["all", "tgcr", "bgcr", "sofr", "sofrai"]
start_date	str	The start date (inclusive) from which to search. Defaults to the current date. Format YYYY-MM-DD
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD
type	str	The report type to return. Available values : ["rate", "volume"]

Returns

• pd.DataFrame: A DataFrame containing secured rates and/or volume.

rates.unsecured_all_latest

Returns the latest unsecured rates.

from nyfedapi import rates
df = rates.unsecured_all_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest unsecured rates.

rates.unsecured_last_number

Returns the last N number of unsecured rates.

from nyfedapi import rates
df = rates.unsecured_last_number(rate_type, number)

Parameters

Parameter	Type	Description
rate_type	str	The rate type. Available values : ["effr", "obfr"]
number	int	The last N amount of rates to return.

Returns

• pd.DataFrame: A DataFrame containing the last N number of unsecured rates.

rates.unsecured_search

Returns unsecured rates and/or volume.

from nyfedapi import rates
df = rates.unsecured_search(rate_type, **kwargs)

Parameters

Parameter	Type	Description
rate_type	str	The rate type. Available values : ["all", "efr", "obfr"]
start_date	str	The start date (inclusive) from which to search. Defaults to the current date. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD.
type	str	The report type to return. Available values : ["rate", "volume"]

Returns

• pd.DataFrame: A DataFrame containing unsecured rates and/or volume.

Repo and Reverse Repo Operations

rp.latest

Returns the latest Repo and/or Reverse Repo operations Announcements or Results for the current day.

from nyfedapi import rp
df = rp.latest(operation_type, method, status)

Parameters

Parameter	Type	Description
operation_type	str	The operation type. Available values : ["all", "repo", "reverserepo"]
method	str	The operation method. Available values : ["all", "fixed", "single", "multiple"]
status	str	The operation status. Available values : ["announcements", "results"]

Returns

• pd.DataFrame: A DataFrame containing the latest repo and/or reverse repo operations announcements or results for the current day.

rp.results_last_two_weeks

Returns the last two weeks Repo and/or Reverse Repo operations Results.

from nyfedapi import rp
df = rp.results_last_two_weeks(operation_type, method)

Parameters

Parameter	Type	Description
operation_type	str	The operation type. Available values : ["all", "repo", "reverserepo"]
method	str	The operation method. Available values : ["all", "fixed", "single", "multiple"]

Returns

• pd.DataFrame: A DataFrame containing the last two weeks repo and/or reverse repo operations results.

rp.results_last_number

Returns the last N number of Repo and/or Reverse Repo operations Results.

from nyfedapi import rp
df = rp.results_last_number(operation_type, method, number)

Parameters

Parameter	Type	Description
operation_type	str	The operation type. Available values : ["all", "repo", "reverserepo"]
method	str	The operation method. Available values : ["all", "fixed", "single", "multiple"]
number	int	The last N amount of operations to return.

Returns

• pd.DataFrame: A DataFrame containing the last N number of repo and/or reverse repo operations results.

rp.results_search

Returns Repo and/or Reverse Repo operation Results.

from nyfedapi import rp
df = rp.results_search(**kwargs)

Parameters

Parameter	Type	Description
start_date	str	The start date (inclusive) from which to search. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD.
operation_types	str	The operation types (comma-delimited) by which to filter. Available values : ["Repo", "Reverse Repo"]
method	str	The operation method by which to filter. Available values : ["multiple", "single", "fixed"]
security_type	str	The security type (tranche) by which to filter. For specific types, only operations which include that type will be returned. Available values : ["mbs", "agency", "tsy", "srf"]
term	str	The term of the operation. Available values : ["overnight", "term"]

Returns

• pd.DataFrame: A DataFrame containing repo and/or reverse repo operation results.

rp.reverserepo_propositions_search

Returns Propositions for Reverse Repo operations.

from nyfedapi import rp
df = rp.reverserepo_propositions_search(**kwargs)

Parameters

Parameter	Type	Description
start_date	str	The start date (inclusive) from which to search. Format YYYY-MM-DD.
end_date	str	The end date (inclusive) up until which to search. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing propositions for reverse repo operations.

Securities Lending Operations

seclending.results_latest

Returns the latest Securities Lending operation Results for the current day.

from nyfedapi import seclending
df = seclending.results_latest(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values : ["all", "seclending", "extensions"].
include	str	The level of details to include. Available values : ["summary", "details"].

Returns

• pd.DataFrame: A DataFrame containing the latest securities lending operation results for the current day.

seclending.results_last_two_weeks

Returns the last two weeks Securities Lending operation Results and/or Extensions.

from nyfedapi import seclending
df = seclending.results_last_two_weeks(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values : ["all", "seclending", "extensions"].
include	str	The level of details to include. Available values : ["summary", "details"].

Returns

• pd.DataFrame: A DataFrame containing the last two weeks securities lending operation results and/or extensions.

seclending.results_last_number

Returns the last N number of Securities Lending operation Results and/or Extensions.

from nyfedapi import seclending
df = seclending.results_last_number(operation, include, number)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values : ["all", "seclending", "extensions"].
include	str	The level of details to include. Available values : ["summary", "details"].
number	int	The last N amount of operations to return.

Returns

• pd.DataFrame: A DataFrame containing the last N number of securities lending operation results and/or extensions.

seclending.results_search

Returns Securities Lending operation Results and/or Extensions.

from nyfedapi import seclending
df = seclending.results_search(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values : ["all", "seclending", "extensions"].
include	str	The level of details to include. Available values : ["summary", "details"].

Returns

• pd.DataFrame: A DataFrame containing securities lending operation results and/or extensions.

System Open Market Account Holdings

soma.asofdates_latest

Returns the latest SOMA holdings As Of Date.

from nyfedapi import soma
df = soma.asofdates_latest()

Returns

• pd.DataFrame: A DataFrame containing the latest SOMA holdings As Of Date.

soma.summary

Returns Summary Of SOMA holdings for each As of Date and holding type.

from nyfedapi import soma
ndf = soma.summary()

Returns

• pd.DataFrame: A DataFrame containing summary of SOMA holdings for each as of date and holding type.

soma.asofdates_list

Returns all SOMA holdings As of Date.

from nyfedapi import soma
df = soma.asofdates_list()

Returns

• pd.DataFrame: A DataFrame containing all SOMA holdings as of date.

soma.agency_get_release_log

Returns the last three months Agency Release and As Of Dates.

from nyfedapi import soma
df = soma.agency_get_release_log()

Returns

• pd.DataFrame: A DataFrame containing the last three months Agency release and as of dates.

soma.agency_get_asof

Returns a single date SOMA Agency Holdings.

from nyfedapi import soma
df = soma.agency_get_asof(date)

Parameters

Parameter	Type	Description
date	str	The date for which to retrieve the agency release. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date SOMA Agency holdings.

soma.agency_get_cusip

Returns all SOMA Agency Holdings for a single CUSIP.

from nyfedapi import soma
df = soma.agency_get_cusip(cusip)

Parameters

Parameter	Type	Description
cusip	str	The CUSIP for which to retrieve information.

Returns

• pd.DataFrame: A DataFrame containing all SOMA Agency Holdings for a single CUSIP.

soma.agency_get_holdingtype_asof

Returns a single date SOMA Agency Holdings for a Agency holding type.

from nyfedapi import soma
df = soma.agency_get_holdingtype_asof(holding_type, date)

Parameters

Parameter	Type	Description
holding_type	str	The holding type for which to retrieve. Available values: ["all", "agency debts", "mbs", "cmb"]
date	str	The date for which to retrieve the agency release. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date SOMA Agency holdings for a Agency holding type.

soma.agency_wam_asof

Returns a single date Weighted Average Maturity for Agency Debt.

from nyfedapi import soma
df = soma.agency_wam_asof(date)

Parameters

Parameter	Type	Description
date	str	The date for which to retrieve the Weighted Average Maturity number. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date Weighted Average Maturity for Agency Debt.

soma.tsy_get_release_log

Returns the last three months Treasury Release and As Of Dates.

from nyfedapi import soma
df = soma.tsy_get_release_log()

Returns

• pd.DataFrame: A DataFrame containing the last three months Treasury release and as of dates.

soma.tsy_get_asof

Returns a single date SOMA Treasury Holdings.

from nyfedapi import soma
df = soma.tsy_get_asof(date)

Parameters

Parameter	Type	Description
date	str	The date for which to retrieve the treasury release. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date SOMA Treasury holdings.

soma.tsy_get_cusip

Returns all SOMA Treasury Holdings for a single CUSIP.

from nyfedapi import soma
df = soma.tsy_get_cusip(cusip)

Parameters

Parameter	Type	Description
cusip	str	The CUSIP for which to retrieve information.

Returns

• pd.DataFrame: A DataFrame containing all SOMA Treasury Holdings for a single CUSIP.

soma.tsy_get_holdingtype_asof

Returns a single date SOMA Treasury Holdings for a Treasury holding type.

from nyfedapi import soma
df = soma.tsy_get_holdingtype_asof(holding_type, date)

Parameters

Parameter	Type	Description
holding_type	str	The holding type for which to retrieve. Available values: ["all", "bills", "notesbonds", "frn", "tips"]
date	str	The date for which to retrieve the treasury release. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date SOMA Treasury Holdings for a Treasury holding type.

soma.tsy_wam_holdingtype_asof

Returns a single date Weighted Average Maturity for a Treasury holding type.

from nyfedapi import soma
ndf = soma.tsy_wam_holdingtype_asof(holding_type, date)

Parameters

Parameter	Type	Description
holding_type	str	The holding type for which to retrieve. Available values: ["all", "bills", "notesbonds", "frn", "tips"]
date	str	The date for which to retrieve the Weighted Average Maturity number. Format YYYY-MM-DD.

Returns

• pd.DataFrame: A DataFrame containing a single date Weighted Average Maturity for a Treasury holding type.

soma.tsy_get_monthly

Returns all SOMA Treasury Holdings at monthly intervals.

from nyfedapi import soma
df = soma.tsy_get_monthly()

Returns

• pd.DataFrame: A DataFrame containing all SOMA Treasury Holdings at monthly intervals.

Treasury Securities Operations

tsy.latest

Returns the latest Treasury operation Announcements or Results for the current day.

from nyfedapi import tsy
df = tsy.latest(operation, status, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales"]
status	str	The operation status. Available values: ["announcements", "results", "operations""]
include	str	The level of details to include. Available values: ["summary", "details"]

Returns

• pd.DataFrame: A DataFrame containing the latest Treasury operation announcements or results for the current day.

tsy.results_last_two_weeks

Returns the last two weeks Treasury operations Results.

from nyfedapi import tsy
df = tsy.results_last_two_weeks(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales"]
include	str	The level of details to include. Available values: ["summary", "details"]

Returns

• pd.DataFrame: A DataFrame containing the last two weeks Treasury operations results.

tsy.results_last_number

Returns the last N number of Treasury operations Results.

from nyfedapi import tsy
df = tsy.results_last_number(operation, include, number)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales"]
include	str	The level of details to include. Available values: ["summary", "details"]
number	int	The last amount of results to return from current date.

Returns

• pd.DataFrame: A DataFrame containing the last N number of Treasury operations Results.

tsy.results_search

Returns Treasury operation Results.

from nyfedapi import tsy
df = tsy.results_search(operation, include)

Parameters

Parameter	Type	Description
operation	str	The operation type. Available values: ["all", "purchases", "sales"]
include	str	The level of details to include. Available values: ["summary", "details"]

Returns

• pd.DataFrame: A DataFrame containing Treasury operation results.

TODO

• Add a keyword argument (kwargs) translator. Example: startDate -> start_date
• Implement the marketshare and guidesheets endpoints, as they currently do not support CSV format download.
• Issue with seclending.results_search(): Although startDate and endDate are not required, omitting them results in a 404 error with the response: ["Cannot exceed allowed span of 1 year"].
• Issue with ambs.results_search(): Although startDate and endDate are not required, omitting them results in a 404 error with the response: ["Cannot exceed allowed span of 2 years"].

API Documentation

• Markets Data APIs: Federal Reserve Bank of New York (FRBoNY)