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How to clean TRACE data

How to clean STANDARD TRACE data (from WRDS)

The corporate bond data provided by FINRA in the TRACE database available via WRDS needs to be cleaned before use. This note explains how to clean the data:
DickNielsen2009_Liquidity biases in trace

 

The SAS-code for cleaning the standard TRACE data can be downloaded here:
Filter1
Filter2

 

How to clean ENHANCED TRACE data (from WRDS)

This note expands the filter to handle the historic enhanced TRACE data. The SAS-code for this filter is printed inside the note.

How to clean ACADEMIC TRACE data (from FINRA)

This note expands the filter to handle the academic TRACE data with can be accessed through an agreement with FINRA. The SAS-code for this filter is printed inside the note. The note and filter is joint work with Thomas K. Poulsen (BI, Oslo).

Last updated by: Jens Dick-Nielsen 06/02/2020