Standard TRACE

The corporate bond transaction data provided by FINRA in the TRACE database available via WRDS needs to be cleaned before it can be used.

This note explains how to clean the data.

SAS-code used in the note: Filter1 Filter2

Enhanced TRACE

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

Academic TRACE

This note expands the filter to handle the academic TRACE data which can currently 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).