mktstructure 0.2.11

Download data from Refinitiv Tick History and compute some market microstructure measures.

mktstructure

    A simple command-line tool to download data from Refinitiv Tick History and compute some market microstructure measures.
    
    ## Installation
    
    You can install `mktstructure` via `pip`:
    
    ``` bash
    pip install mktstructure
    ```
    
    ## Quick Start
    
    Use `-h` or `--help` to see the usage instruction:
    
    ``` bash
    $ mktstructure -h
    usage: mktstructure [OPTION]...
    
    Download data from Refinitiv Tick History and compute some market microstructure measures.
    
    optional arguments:
      -h, --help            show this help message and exit
      -v, --version         show program's version number and exit
    
    Sub-commands:
      Choose one from the following. Use `mktstructure subcommand -h` to see help for each sub-command.
    
      {download,clean,classify,compute}
        download            Download data from Refinitiv Tick History
        clean               Clean downloaded data
        classify            Classify ticks into buy and sell orders
        compute             Compute market microstructure measures
    ```
    
    ### 1. Download data
    
    Let's download the tick history for all S&P500 component stocks from Jan 1, 2022, to Jan 31, 2022:
    
    ``` bash
    mktstructure download -u {username} -p {password} --sp500 --parse --data_dir "./data" -b 2022-01-01 -e 2022-01-31
    ```
    
    where `{username}` and `{password}` are the login credentials of Refinitiv DataScope Select.
    
    Note that we set the `--parse` flag to parse the downloaded data (gzip) into csv files by stock and date into the `./data` folder.
    
    ### 2. Clean data
    
    Then we clean the downloaded and parsed data in the `./data` folder: sorting by time, removing duplicates, etc.
    
    ``` bash
    mktstructure clean --all --data_dir "./data" --replace
    ```
    
    The ``--replace`` flag, if set, asks the program to replace the data file with the cleaned one to save disk space.
    
    ### 3. Classify trade directions
    
    Use the `classify` subcommand to classify trades into buys and sells by the Lee and Ready (1991) algorithm.
    
    ``` bash
    mktstructure classify --all --data_dir "./data"
    ```
    
    ### 4. Compute
    
    Lastly, use the `compute` subcommand to compute specified market microstructure measures:
    
    ``` bash
    mktstructure compute --all --data_dir "./data" --out bidaskspread.csv --bid_ask_spread
    ```
    
    ## Note
    
    This tool is still a work in progress. Some breaking changes may be expected but will be kept minimal.