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

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 30 Jul 2009 20:00:36 -0400 |

Dear Kieran, Thank you very much for your help. I think I can get the basic idea about how to solve my problem. If someone else has any other idea please feel free to jump in. -JHS On Thu, Jul 30, 2009 at 7:25 PM, Kieran McCaul<Kieran.McCaul@uwa.edu.au> wrote: > ... > > > OK, I'll have a go at this. On a more complete dataset the flag > variable should pick the spread with the smallest time difference. > Also, I'm not all that familiar with using -tsset-, so someone else may > come up with something more elegant than this. > > Until they do, try something like this: > > > clear > > input str3 BondID str8 Date str6 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 > > gen double DateTime = clock(Date+Time,"YMDhms") > > format DateTime %tc > > sort BondID DateTime > > by BondID: gen spread = round(Ask_Price[_n] - Bid_Price[_n-1],0.01) > > by BondID: gen TimeDiff = round(minutes(DateTime[_n] - > DateTime[_n-1]),0.01) if spread ~= . > > sort BondID spread > by BondID: gen flag=1 if _n==1 & spread ~=. > > sort BondID DateTime > list > > > > ______________________________________________ > Kieran McCaul MPH PhD > WA Centre for Health & Ageing (M573) > University of Western Australia > Level 6, Ainslie House > 48 Murray St > Perth 6000 > Phone: (08) 9224-2701 > Fax: (08) 9224 8009 > email: Kieran.McCaul@uwa.edu.au > http://myprofile.cos.com/mccaul > http://www.researcherid.com/rid/B-8751-2008 > ______________________________________________ > If you live to be one hundred, you've got it made. > Very few people die past that age - George Burns > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of stata help > Sent: Friday, 31 July 2009 4:20 AM > To: statalist@hsphsun2.harvard.edu > Subject: 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/ > * * 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>

**st: RE: How to calculate the bid-ask spread in this case?***From:*"Kieran McCaul" <Kieran.McCaul@uwa.edu.au>

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