...
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: [email protected]
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: [email protected]
[mailto:[email protected]] On Behalf Of stata help
Sent: Friday, 31 July 2009 4:20 AM
To: [email protected]
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
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