How to Clean Enhanced TRACE Data

25 Pages Posted: 10 Oct 2013 Last revised: 3 Dec 2014

See all articles by Jens Dick-Nielsen

Jens Dick-Nielsen

Copenhagen Business School - Department of Finance

Date Written: December 3, 2014

Abstract

This note is a supplement to "Liquidity biases in TRACE" from the Journal of Fixed Income, 2009. The note updates the transaction data filter to handle Enhanced Historic TRACE data and provides SAS code for the new filter (now including the 2012 change). As an example, there are 6.7 mill raw transaction reports in 2007. 440,000 are deleted as known errors. 780,000 are deleted as agency transactions. Finally, 1.6 mill are deleted as interdealer double counted transactions. In total the filter deletes almost 35% of the raw transactions.

Keywords: Enhanced TRACE data; Error filter; SAS code

JEL Classification: G10; G12

Suggested Citation

Dick-Nielsen, Jens, How to Clean Enhanced TRACE Data (December 3, 2014). Available at SSRN: https://ssrn.com/abstract=2337908 or http://dx.doi.org/10.2139/ssrn.2337908

Jens Dick-Nielsen (Contact Author)

Copenhagen Business School - Department of Finance ( email )

Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
1,943
Abstract Views
5,812
rank
7,998
PlumX Metrics