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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.

Last update: April 17, 2022
Created: April 17, 2022

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