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Re: st: RE: How to calculate the time elapsed between two trading?


From   "Katia Bobulova" <katia.bobulova@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: How to calculate the time elapsed between two trading?
Date   Tue, 14 Oct 2008 22:08:42 +0100

Dear Nick,

thank you very much for your help.

It is exactly what I was trying to do.

Thanks

Katia

2008/10/14 Nick Cox <n.j.cox@durham.ac.uk>:
> gen byte istrading = trading == "T"
> bysort date (istrading time) : gen dt = time - time[_n-1] if istrading & istrading[_n-1]
>
> This naturally excludes differences between the last trade of a day and the first trade of the next day, as did your code here.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Katia Bobulova
>
> I have to costruct a variable for the time elapsed between two trading
> (trading=T)
>
>  I have this situation:
>
> Date               time        control    newvariable
> 02/01/2007   16:50:55        T         165000
> 02/01/2007   16:50:56        T         165000
> 03/01/2007   17:02:30        T         170230
> 03/01/2007   18:30:20        R            .
> 03/01/2007   18:32:00        T         183200
>
> Now the result that I would like to reach is to have new variable
> which has as observations: 0 and 12970, because the first one is the
> result of the diff between the first two newvariable, since they take
> place at the same time, the second one should be the difference
> between the newvariable at time 17:02:30 and the other one at 18:32:00
> (since I am considering just the obs with control=T).
>
> I tried to do this:
>
> gen newvariable= time if control=="T"
> by sort date: gen newvariable1=newvariable-newvariable[_n-1]
>
> but I don't have the result that i would like to have, since i am
> trying to calculate the time elapsed between two trading(control=T).
>
>
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