download_data_wrds_clean_trace {tidyfinance}

Download Cleaned TRACE Data from WRDS

Description

Establishes a connection to the WRDS database to download the specified CUSIPs trade messages from the Trade Reporting and Compliance Engine (TRACE). The trade data is cleaned as suggested by Dick-Nielsen (2009, 2014).

Usage

download_data_wrds_clean_trace(cusips, start_date, end_date)

Arguments

cusips

A character vector specifying the 9-digit CUSIPs to download.

start_date

The start date for filtering the data, in "YYYY-MM-DD" format.

end_date

The end date for filtering the data, in "YYYY-MM-DD" format.

Value

A data frame containing the cleaned trade messages from TRACE for the selected CUSIPs over the time window specified. Output variables include identifying information (i.e., CUSIP, trade date/time) and trade-specific information (i.e., price/yield, volume, counterparty, and reporting side).

Examples

  one_bond <- download_data_wrds_clean_trace("00101JAH9", "2019-01-01", "2021-12-31")