<>
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
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von stata help
Gesendet: Donnerstag, 30. Juli 2009 16:20
An: [email protected]
Betreff: 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/
