This application provides two functions

i) Capture, processing and storage of the rates feed DATA from DTCC (see http://www.dtcc.com/products/derivserv/suite/us_swap_data_repository.php).

ii) Implementation of json-based, REST interface for data retrieval.

The system requires access to a database with table called 'trade'. This can be created by importing the SQL file 'tradecapture.sql' stored in the config directory. Application parameters are stored in the application.ini file. If required, a test database can also be specified in the configuration file.

The capture mechanism is set up to run only from the command line. There are four possible actions:

Download data: php index.php capture download [-v/verbose]. This initiates a one-off download and save of the RSS feed.

Download at intervals: php index.php capture loop Sets download to run at regular intervals for a maximum specified time. The time between intervals and the cutoff time are specified in the configuration file.

Upload from a CSV file: php index.php capture upload [-f/file FILENAME] Uploads data such as a daily download obtained from DTCC. If no filename is specified, the RATES.csv in the data directory is assumed.

Archive data: php index.php capture archive [-v/verbose]

Single trades: GET rest/retrieve/format/json/trade/ID returns an object representing a single trade (sepcified by id);

Multiple trades:

the table endpoint is designed to return JSON-formatted data suitable for use with the jQuery dataTables library.

Four optional parameters are allowed: type - instrument type currency - trade currency since - time in hours of earliest trade minimum - minimum trade size

Example:

GET rest/table/format/json/type/Option/currency/USD/since/3/minimum/10 returns an array of trades representing Dollar Options of at least 10mn in size executed in the last 3 hours