This code compiles the Dick-Nielsen (2014) filters to clean the Enhanced TRACE data set in python with Apache Spark. I did not find any resources on python yet. Basically, I follow the steps which are suggested by Dick-Nielsen and demonstrated by Qingyi (Freda) Song Drechsler in stata code publicated on wharton research databse. It only compromises of data cleaning steps. I did not provide parts where he suggest to remove agency transactions
No guarantee that everything is correct. Happy to receive feedback on possible mistakes! Cheers