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st: Lagged price

From   Beatrice Crozza <>
To   statalist <>
Subject   st: Lagged price
Date   Fri, 28 Jan 2011 23:08:07 +0100

Dear All,

I want to infer the trade direction with a tick test, comparing two
consecutive prices.
I have a problem with Stata in order to construct the lagged price.
When two consecutive prices are the same, I should go back one more
lag, however, often I need to compare my price with a price of three
or more previous periods.

Here there is an example of my dataset:

date	         time	        price	
03jan2000	93157	148.25
03jan2000	93200	148.25	
03jan2000	93201	148.27	
03jan2000	93202	148.25	
03jan2000	93203	148.25	
03jan2000	93208	148.25	
03jan2000	93211	148.25	
03jan2000	93212	148.25	
03jan2000	93215	148.15625	
03jan2000	93225	148.25	

if I compare price at 93212 with the previous one, it is the same and
also if I compare it with the price at 93208, so I should go further
until I reach the price of 93201 which is different.

If I want to do the difference for two consecutive prices I can write:
a lag further:
and so on

However, I would like to know if there is a formula to do the
difference between to prices, until I find a price which is different
from the one in consideration.

Thank you very much or your help.

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