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From |
help me <carrot2rabbit@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 30 Jul 2009 19:33:03 -0400 |

Dear Martin, Thank you very much for your answer. Your suggestion is very helpful. Now I can have a measure of the bid-ask spread! However, I am afraid I did not correctly explain my problem. The actual data is more complicated although it has the same structure as the hypothetical one that I provided. 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 AAA 20090729 093617 101.05 AAA 20090729 094521 101.20 AAA 20090729 094654 100.30 AAA 20090729 094929 100.70 AAA 20090729 100002 100.50 . . . In this case I want to calculate the difference between the ask price at 09:35:23 (101.20) and the bid price at 09:36:17(101.05) because these bid and ask transactions take place at the closest time among other pairs. Do you have any idea how to do that? Thank you. JHS On Thu, Jul 30, 2009 at 6:31 PM, Martin Weiss<martin.weiss1@gmx.de> wrote: > > <> > > > 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 * * 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/

**Follow-Ups**:**AW: st: AW: How to calculate the bid-ask spread in this case?***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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

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