tqLiquidity: Calculate numerous (23) liquidity measures
In highfrequency: Tools for Highfrequency Data Analysis
Description
Usage
Arguments
Value
Details
Author(s)
References
Examples
Description
Function returns an xts object containing one of the following liquidity measures:
es, rs, value_trade, signed_value_trade,
di_diff, di_div, pes, prs, price_impact, prop_price_impact,
tspread, pts, p_return_sqr, p_return_abs, qs, pqs,
logqs, logsize, qslope, logqslope, mq_return_sqr,
mq_return_abs.
Usage
1
tqLiquidity(tqdata,tdata,qdata,type,...)
Arguments
tqdata
xts object, containing joined trades and quotes (e.g. using matchTradesQuotes)
tdata
xts-object containing the trade data.
qdata
xts-object containing the quote data.
type
a character vector containing the name of one of the above mentioned liquidity measures, e.g. type="es" to get the effective spread.
...
additional arguments.
Value
an xts object containing one of the above mentioned liquidity measures.
Details
The respective liquidity measures are defined as follows:
es: effective spread
\mbox{effective spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
rs: realized spread
\mbox{realized spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t+300}+\mbox{OFR}_{t+300})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
Note that the time indication of \mbox{BID} and \mbox{OFR} refers
to the registered time of the quote in seconds.
value_trade: trade value
\mbox{trade value}_t = \mbox{SIZE}_{t}*\mbox{PRICE}_{t}.
signed_value_trade: signed trade value
\mbox{signed trade value}_t = D_t * (\mbox{SIZE}_{t}*\mbox{PRICE}_{t}),
where D_t is 1 (-1) if trade_t was buy (sell)
(see Boehmer (2005), Bessembinder (2003)).
di_diff: depth imbalance (as a difference)
\mbox{depth imbalace (as difference)}_t = \frac{D_t *(\mbox{OFRSIZ}_{t}-\mbox{BIDSIZ}_{t})}{(\mbox{OFRSIZ}_{t}+\mbox{BIDSIZ}_{t})},
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
di_div: depth imbalace (as ratio)
\mbox{depth imbalace (as ratio)}_t = (\frac{D_t *\mbox{OFRSIZ}_{t}}{\mbox{BIDSIZ}_{t}})^{D_t},
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
pes: proportional effective spread
\mbox{proportional effective spread}_t = \frac{\mbox{effective spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
prs: proportional realized spread
\mbox{proportional realized spread}_t = \frac{\mbox{realized spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered
price_impact: price impact
\mbox{price impact}_t = \frac{\mbox{effective spread}_t - \mbox{realized spread}_t}{2}
(see Boehmer (2005), Bessembinder (2003)).
prop_price_impact: proportional price impact
\mbox{proportional price impact}_t = \frac{\frac{(\mbox{effective spread}_t - \mbox{realized spread}_t)}{2}}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
registered quote timestamp).
tspread: half traded spread
\mbox{half traded spread}_t = D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
pts: proportional half traded spread
\mbox{proportional half traded spread}_t = \frac{\mbox{half traded spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}.
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
p_return_sqr: squared log return on trade prices
\mbox{squared log return on Trade prices}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1}))^2.
p_return_abs: absolute log return on trade prices
\mbox{absolute log return on Trade prices}_t = |\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})|.
qs: quoted spread
\mbox{quoted spread}_t = \mbox{OFR}_{t}-\mbox{BID}_{t}
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
registered quote timestamp).
pqs: proportional quoted spread
\mbox{proportional quoted spread}_t = \frac{\mbox{quoted spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
registered quote timestamp).
logqs: log quoted spread
\mbox{log quoted spread}_t = \log(\frac{\mbox{OFR}_{t}}{\mbox{BID}_{t}})
(Hasbrouck and Seppi, 2001).
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
registered quote timestamp).
logsize: log quoted size
\mbox{log quoted size}_t = \log(\mbox{OFRSIZ}_{t})-\log(\mbox{BIDSIZ}_{t})
(Hasbrouck and Seppi, 2001).
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
registered quote timestamp).
qslope: quoted slope
\mbox{quoted slope}_t = \frac{\mbox{quoted spread}_t}{\mbox{log quoted size}_t}
(Hasbrouck and Seppi, 2001).
logqslope: log quoted slope
\mbox{log quoted slope}_t = \frac{\mbox{log quoted spread}_t}{\mbox{log quoted size}_t}.
mq_return_sqr: midquote squared return
\mbox{midquote squared return}_t = (\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1}))^2,
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
mq_return_abs: midquote absolute return
\mbox{midquote absolute return}_t = |\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1})|,
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
signed_trade_size: signed trade size
\mbox{signed trade size}_t = D_t * \mbox{SIZE}_{t},
where D_t is 1 (-1) if trade_t was buy (sell).
Author(s)
Jonathan Cornelissen and Kris Boudt
References
Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of
Financial Markets, 223-257.
Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
equity markets. Journal of Financial Economics 78 (3), 553-582.
Hasbrouck, J. and D. J. Seppi (2001).
Common factors in prices, order flows and liquidity.
Journal of Financial Economics, 383-411.
Venkataraman, K. (2001). Automated versus floor trading:
An analysis of execution costs on the paris and new york exchanges.
The Journal of Finance,
56, 1445-1485.
Examples
1
2
3
4
5
6
7
8
9
10
11
12
13
#load data samples
data("sample_tdata");
data("sample_qdata");
tdata = sample_tdata;
qdata = sample_qdata;
#match the trade and quote data
tqdata = matchTradesQuotes(tdata,qdata);
#calculate the proportional realized spread:
prs = tqLiquidity(tqdata,tdata,qdata,type="prs");
#calculate the effective spread:
es = tqLiquidity(tqdata,type="es");
Example output
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
highfrequency documentation built on May 2, 2019, 6:09 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Details Author(s) References Examples
Description
Function returns an xts object containing one of the following liquidity measures:
es, rs, value_trade, signed_value_trade, di_diff, di_div, pes, prs, price_impact, prop_price_impact, tspread, pts, p_return_sqr, p_return_abs, qs, pqs, logqs, logsize, qslope, logqslope, mq_return_sqr, mq_return_abs.
Usage
1 | tqLiquidity(tqdata,tdata,qdata,type,...)
|
Arguments
tqdata |
xts object, containing joined trades and quotes (e.g. using |
tdata |
xts-object containing the trade data. |
qdata |
xts-object containing the quote data. |
type |
a character vector containing the name of one of the above mentioned liquidity measures, e.g. type="es" to get the effective spread. |
... |
additional arguments. |
Value
an xts object containing one of the above mentioned liquidity measures.
Details
The respective liquidity measures are defined as follows:
es: effective spread
\mbox{effective spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
rs: realized spread
\mbox{realized spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t+300}+\mbox{OFR}_{t+300})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the time indication of \mbox{BID} and \mbox{OFR} refers to the registered time of the quote in seconds.
value_trade: trade value
\mbox{trade value}_t = \mbox{SIZE}_{t}*\mbox{PRICE}_{t}.
signed_value_trade: signed trade value
\mbox{signed trade value}_t = D_t * (\mbox{SIZE}_{t}*\mbox{PRICE}_{t}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
di_diff: depth imbalance (as a difference)
\mbox{depth imbalace (as difference)}_t = \frac{D_t *(\mbox{OFRSIZ}_{t}-\mbox{BIDSIZ}_{t})}{(\mbox{OFRSIZ}_{t}+\mbox{BIDSIZ}_{t})},
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
di_div: depth imbalace (as ratio)
\mbox{depth imbalace (as ratio)}_t = (\frac{D_t *\mbox{OFRSIZ}_{t}}{\mbox{BIDSIZ}_{t}})^{D_t},
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
pes: proportional effective spread
\mbox{proportional effective spread}_t = \frac{\mbox{effective spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
prs: proportional realized spread
\mbox{proportional realized spread}_t = \frac{\mbox{realized spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered
price_impact: price impact
\mbox{price impact}_t = \frac{\mbox{effective spread}_t - \mbox{realized spread}_t}{2}
(see Boehmer (2005), Bessembinder (2003)).
prop_price_impact: proportional price impact
\mbox{proportional price impact}_t = \frac{\frac{(\mbox{effective spread}_t - \mbox{realized spread}_t)}{2}}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
(Venkataraman, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
tspread: half traded spread
\mbox{half traded spread}_t = D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
pts: proportional half traded spread
\mbox{proportional half traded spread}_t = \frac{\mbox{half traded spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}.
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
p_return_sqr: squared log return on trade prices
\mbox{squared log return on Trade prices}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1}))^2.
p_return_abs: absolute log return on trade prices
\mbox{absolute log return on Trade prices}_t = |\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})|.
qs: quoted spread
\mbox{quoted spread}_t = \mbox{OFR}_{t}-\mbox{BID}_{t}
Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
pqs: proportional quoted spread
\mbox{proportional quoted spread}_t = \frac{\mbox{quoted spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
(Venkataraman, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
logqs: log quoted spread
\mbox{log quoted spread}_t = \log(\frac{\mbox{OFR}_{t}}{\mbox{BID}_{t}})
(Hasbrouck and Seppi, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
logsize: log quoted size
\mbox{log quoted size}_t = \log(\mbox{OFRSIZ}_{t})-\log(\mbox{BIDSIZ}_{t})
(Hasbrouck and Seppi, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
qslope: quoted slope
\mbox{quoted slope}_t = \frac{\mbox{quoted spread}_t}{\mbox{log quoted size}_t}
(Hasbrouck and Seppi, 2001).
logqslope: log quoted slope
\mbox{log quoted slope}_t = \frac{\mbox{log quoted spread}_t}{\mbox{log quoted size}_t}.
mq_return_sqr: midquote squared return
\mbox{midquote squared return}_t = (\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1}))^2,
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
mq_return_abs: midquote absolute return
\mbox{midquote absolute return}_t = |\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1})|,
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
signed_trade_size: signed trade size
\mbox{signed trade size}_t = D_t * \mbox{SIZE}_{t},
where D_t is 1 (-1) if trade_t was buy (sell).
Author(s)
Jonathan Cornelissen and Kris Boudt
References
Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of Financial Markets, 223-257.
Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US equity markets. Journal of Financial Economics 78 (3), 553-582.
Hasbrouck, J. and D. J. Seppi (2001). Common factors in prices, order flows and liquidity. Journal of Financial Economics, 383-411.
Venkataraman, K. (2001). Automated versus floor trading: An analysis of execution costs on the paris and new york exchanges. The Journal of Finance, 56, 1445-1485.
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 | #load data samples
data("sample_tdata");
data("sample_qdata");
tdata = sample_tdata;
qdata = sample_qdata;
#match the trade and quote data
tqdata = matchTradesQuotes(tdata,qdata);
#calculate the proportional realized spread:
prs = tqLiquidity(tqdata,tdata,qdata,type="prs");
#calculate the effective spread:
es = tqLiquidity(tqdata,type="es");
|
Example output
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.