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


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

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