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In 2010 there was some discussion of the choice between GC-MS and LC-MS for steroids (refs below). The arguments are general, but particularly acute with steroids because of the huge number of possible similar structures.
For exploratory work you need a unique mass spectral fingerprint with which to 'annotate' every detected compound. Electron ionisation (EI) provides this: high energy, odd-electron. Chemical ionisation (CI) is also useful. Clever people could identify an unknown by interpreting these spectra. Currently, EI and CI are only available with GC. Because of their advantages, rather unsatisfactory particle beam and moving belt LC interfaces were more widely used in industry than would appear from reading the literature.
GC has an advantage not mentioned often enough: since the stationary phases are well defined, selectivity and retention are reproducible; they are effectively linked to physical constants (partition coefficients). Perhaps metabolomics specialists are exploring counter-flow and similar liquid-liquid techniques that were recently re-introduced.
Modern LC-MS provides only low-energy even-electron ionisation, and the spectra are not always reproducible, partly because of adducts. Fragmentation patterns of steroids tend to be generic and they give little structural information. Consequently, spectral libraries are much less valuable than the now-ancient EI libraries and as far as I know, MS-MS libraries are unlikely to fill the gap.
However, if you're interested in a few well-characterised steroids ('target compounds'), LC-MS-MS is the way to go. A biomedical lab is likely to have both the equipment and people who can operate it. It's the only choice for a routine clinical lab. While GC-MS is widely used elsewhere, it could be a bit of a culture-shock.
Anecdote: I got involved in melatonin research 30-something years ago. Concentrations may be in the low pg/g range. GC-MS was the reference method for quantitation, though it never did quite quite meet selectivity criteria (only 1 mass peak). However, the method is or was too slow, elaborate, difficult, unreliable and expensive for most purposes. Various other less certain methods were or became available, and I recall that Paul Pevet, one of the leaders in the field, took every opportunity to have them cross-checked by a GC-MS geek. I'm not sure that every subsequent claim by other researchers for extra-pineal melatonin should be believed.
Shackleton, C. (2010). Clinical steroid mass spectrometry: A 45-year history culminating in HPLC–MS/MS becoming an essential tool for patient diagnosis. The Journal of Steroid Biochemistry and Molecular Biology, 121(3–5), 481–490. https://doi.org/10.1016/J.JSBMB.2010.02.017
Krone, N., Hughes, B. A., Lavery, G. G., Stewart, P. M., Arlt, W., & Shackleton, C. H. L. (2010). Gas chromatography/mass spectrometry (GC/MS) remains a pre-eminent discovery tool in clinical steroid investigations even in the era of fast liquid chromatography tandem mass spectrometry (LC/MS/MS). The Journal of Steroid Biochemistry and Molecular Biology, 121(3), 496–504. https://doi.org/10.1016/j.jsbmb.2010.04.010
We run both GC-MS and LC-MS some compounds work clearly better with either... steroids are a bit in betwen and work somehow with both but but methods have their downs for steroids. Some steroids do not ionize well in ESI but better in APCI