| download_data_wrds_clean_trace {tidyfinance} | R Documentation |
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 |
Optional. A character string or Date object in "YYYY-MM-DD" format specifying the start date for the data. If not provided, a subset of the dataset is returned. |
end_date |
Optional. A character string or Date object in "YYYY-MM-DD" format specifying the end date for the data. If not provided, a subset of the dataset is returned. |
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
clean_trace <- download_data_wrds_clean_trace("00101JAH9", "2019-01-01", "2021-12-31")