How to calculate spread with price at time t and bid and ask after t + 5 min?
1 view (last 30 days)
Show older comments
Hi
I have to calculate this spread measure wherein i have DATETIME column in format shown along with PRICE and BID and ASK rates. How to calculate S as given by formula for every minute -
S= PRICE(t) − [BID(t+5) + OFR(t+5) /2]
Also, there might be days in which not all minutes are available as there might be missing minutes.
Also, since i have to run this for each day separately using cell array with split dates how to do this using cell array function?
2 Comments
darova
on 18 Jul 2019
If you want to do this in MATLAB
n = length(BID)-5;
S = zeros(n,1);
for i = 1:n
S(i) = PRICE(i) - (BID(i+5)+OFR(i+5))/2;
end
But it easy to do in Excel. What do you think?
Answers (0)
See Also
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!