download_data_wrds_trace_enhanced: Download Enhanced TRACE Data from WRDS

In tidyfinance: Tidy Finance Helper Functions

Download Enhanced 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_trace_enhanced(cusips, start_date = NULL, end_date = NULL)

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

  trace_enhanced <- download_data_wrds_trace_enhanced("00101JAH9", "2019-01-01", "2021-12-31")

tidyfinance documentation built on April 3, 2025, 6:10 p.m.