Awesome

Cleaning and Processing TRACE Data

Overview

This Python repository contains script files (which are continuously updated with best practices), to process the Enhanced TRACE data. The core folders are listed below. The remaining folders will (eventually) be cleaned up. Please visit https://openbondassetpricing.com/ for the latest version of corporate bond factor data. Underlying (monthly) data with pre-computed returns, and characteristics can be downloaded at https://openbondassetpricing.com/data/.

NOISE

Files to properly handle the market microstructure noise inherent in the Enhanced TRACE transaction data from our new paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4575879

TRACE

Files to process (yourself) the intraday, daily and the monthly Enhanced TRACE bond data, which is from https://wrds-www.wharton.upenn.edu/pages/get-data/otc-corporate-bond-and-agency-debt-bond-transaction-data/trace-enhanced/bond-trades/

WRDS

Files to handle the pre-processed WRDS TRACE data, available from https://wrds-www.wharton.upenn.edu/pages/get-data/wrds-bond-returns/wrds-bond-returns/

Contact me here for bugs, corrections or questions: a.dickerson@warwick.ac.uk or alexander.dickerson1@unsw.edu.au