Dear Martin,
Thank you very much! Yes, I should check the both ways. I think I now
understand how to solve my problem.
-JHS
On Thu, Jul 30, 2009 at 11:14 PM, Martin Weiss<[email protected]> wrote:
> <>
>
> Ok, that makes the solution slightly more involved:
>
>
> ******
> clear*
>
> input BondID:mylabel str10(Date Time) Bid_Price Ask_Price , auto
> 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
> end
>
> egen newdate=concat(Date Time)
> gen double timeoftrade=clock(newdate, "YMDhms")
> format timeoftrade %tc
>
> //get time difference
> bys BondID (timeoftrade): /*
> */ gen timediff=timeoftrade[_n]-timeoftrade[_n-1]
>
> //get the spread
> //have to check both ways
> bys BondID (timeoftrade): /*
> */ gen spread=min(Ask_Price[_n]-Bid_Price[_n-1], /*
> */ Ask_Price[_n-1]-Bid_Price[_n])
>
> //get the minimum time diff
> bys BondID (timeoftrade): /*
> */ egen mintime=min(timediff)
>
> //get rid of auxiliaries
> drop Date Time newdate
>
> //get desiredspread
> bys BondID (timeoftrade): /*
> */ egen desiredspread= /*
> */ max((timediff==mintime)* /*
> */ spread)
>
> list, noobs
> ******
>
>
> HTH
> Martin
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von help me
> Gesendet: Donnerstag, 30. Juli 2009 19:33
> An: [email protected]
> Betreff: Re: st: AW: How to calculate the bid-ask spread in this case?
>
> 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
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