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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: AW: How to calculate the bid-ask spread in this case? |

Date |
Thu, 30 Jul 2009 18:31:03 -0400 |

<> This code is very specific to your example data, so if your problem is more general, let the list know... ****** clear* input str5 BondID Date Time Bid_Price Ask_Price AAA 20090729 090540 100.00 . AAA 20090729 092307 100.05 . AAA 20090729 093051 . 101.10 AAA 20090729 093523 . 101.20 end compress //make sure dataset sorted sort Date Time list, noobs collapse (lastnm) Bid_Price/* */ (firstnm) Ask_Price, by(BondID) gen spread= Ask_Price- Bid_Price l ****** HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von stata help Gesendet: Donnerstag, 30. Juli 2009 16:20 An: statalist@hsphsun2.harvard.edu Betreff: st: How to calculate the bid-ask spread in this case? Dear Statalisters, I have data of foreign bonds with their trading date and time, and the bid and ask prices. The data structure is as follows: Bond ID Date Time(HHMMSS) Bid_Price Ask_Price AAA 20090729 090540 100.00 AAA 20090729 092307 100.05 AAA 20090729 093051 101.10 AAA 20090729 093523 101.20 . . . I want to calculate the "closest-in-time" bid-ask spread of the bonds(in this case, 101.10-100.05 = 1.05). Since it is my first time to deal with this type of data I don't know how to do that. Could any of you let me know what command I should use or how to program to get the bid-ask spread? Thank you very much. JHS * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: How to calculate the bid-ask spread in this case?***From:*stata help <carrot2rabbit@gmail.com>

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