corporate-bond-data-and-tracelisted

Use FINRA TRACE corporate bond data without inheriting the two things it does not tell you - the 15-minute reporting window and the size caps that censor volume. TRIGGER - TRACE, FINRA trade reporting, corporate bond tape, bond transaction data, "how fast are bond trades reported", one-minute TRACE reporting, Rule 6730, 15-minute reporting, dissemination cap, "5MM+", "1MM+", capped trade size, bond volume, TRACE academic or historic files, bond turnover, Amihud illiquidity on bonds, bond VWAP, "why is my bond volume so low", corporate bond liquidity screen, WRDS bond data, PyBondLab. SKIP for turning a bond price into a spread (credit-spread-measures), for CDS quotes and upfronts (cds-mechanics-and-upfront), for the rating that put the bond in an index (ratings-transitions-and-migration), for equity tick data and TAQ (intraday-microstructure), and for choosing a market data vendor or API in general (market-data-sourcing).
howard-lynn-ye/fin-skills · ★ 1 · Data & Documents · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# Corporate bond data and TRACE **Two facts about TRACE are load-bearing and a model trained through 2025 gets both wrong.** Reporting is **15 minutes, not one** — the SEC approved a one-minute rule in September 2024 and FINRA abandoned it. And disseminated **size is right-censored** at $5MM (investment grade) or $1MM (non-investment grade), so TRACE volume is a lower bound, not a measurement, and every statistic with volume in it inherits that. Measured figures below are printed by `scripts/trace.py` (runs in **1.3 s**, numpy + scipy, one seeded synthetic tape, no network). ✅ Measured means this file produced it on 2026-09-09 with numpy 2.2.6, scipy 1.13.0, Python 3.11.3. Regulatory facts are marked ✅ source-verified with the page and the date they were read. > **The rule:** TRACE reporting is **15 minutes**, and a disseminated size is a **lower bound**. > "5MM+" is a **censored observation** — treat it as one, or every volume statistic you build is > biased in a known direction. ## 1. 🚨 It is still 15 minutes. It was never one minute. ✅ **Source-verified at finra.org on 2026-09-09.** FINRA **Regulatory Notice 25-17**, *FINRA Adopts Amendments to Rule 6730 (Transaction Reporting) to Streamline Allocation Reporting for BD/IAs*, published **2025-12-04**, effective **2026-06-08**, says: > "FINRA is not moving forward with its proposal to reduce the 15-minute TRACE reporting outer > limit to one minute." and restates the standing requirement as reporting "as soon as prac