frds-mktstructure¶
frds-mktstructure is a simple command-line tool to download data from Refinitiv Tick History and compute some market microstructure measures.
Info
You will need a Refinitiv DataScope Select login to be able to use this tool.
Features¶
You can use this tool to download tick-by-tick quote and transaction data for your selected securities, or for all S&P500 constituents, in one line of code!
Example
Let's download the tick history for all S&P500 component stocks from Jan 1, 2022, to Jan 31, 2022:
frds-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.
Similarly, you can use one line of code to compute a collection of selected measures:
Example
Use the compute subcommand to compute specified market microstructure measures:
frds-mktstructure compute --all --data_dir "./data" --out out.csv --bid_ask_spread --price_impact
Installation¶
There is no extra installation or setup required. It is available as long as you have frds installed.
frds-mktstructure is available once frds is installed
To check if it's correctly installed, type frds-mktstructure -v in your terminal, you should see something like:
frds-mktstructure version 0.2.0
Use -h or --help to see the usage instruction:
$ frds-mktstructure -h
usage: frds-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 `frds-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
Sub-commands¶
frds-mktstructure is consisted of a few standalone subcommands.
download: to download raw data from Refinitiv.clean: to sort and remove duplicates, etc.classify: to classify trade direction.compute: to compute selected market microstructure measures.
Created: April 17, 2022