# [R-SIG-Finance] calculating the high frequency return

markleeds at verizon.net markleeds at verizon.net
Mon Jan 5 05:26:11 CET 2009

```  Suppose I have the bid and ask data for a stock XXX, at every minute (
best bid and best ask ). Then, say I want to calculate the

A) going long that stock at 10:10 for 10 minutes.

B) going short that stock at 10:10 for 10 minutes.

I realize that , since I have only quote data, the whole thing is
approximate anyway because the actual prices that one transacts in
are unknown ( or in the transaction price data which I'd rather avoid
dealing with ) but my understanding is that  the best approximation is

lgoing ong return =   (bid at 10:20 - ask at 10:10)/ask at 10:10

going short return = ( ask at 10:20 - bid at 10:10)/bid at 10:10

Since I'm taking the spread into account in the formula ( rather than
using ( midpoint at 10:20 - midpoint at 10:10)/midpoint at 10:10 ),
then these are not the negative of each other, as they would be if one
used the midpoint.  but I would think that above gives a better measure
than using the midpoint because it implicity takes into account the
transaction cost due to the spread which actually could be different
depending on whether one is going long or short.

Any comments or corrections are appreciated. There's also interest
rebates when one shorts but I'm assuming they are small enough
to ignore.  it also assumes that you can close the transaction EXACTLY
when you want to which is not particularly realistic either. Still, if
there's something wrong with above or a better way to calculate these
things or a known standard source that explains it, enlightenment is
appreciated.

Mark

On Sun, Jan 4, 2009 at  9:59 PM, Josh Ulrich wrote:

> Hi Andrew,
>
> You can use TTR's functionality to get both split and dividend
> information from Yahoo Finance.
>
> x <- getYahooData("SPY", type='split', quiet=TRUE)
>
> Best,
> Josh
> --
> http://quantemplation.blogspot.com
>
>
>
> On Sun, Jan 4, 2009 at 7:31 PM, Andrew Yee <yee at post.harvard.edu>
> wrote:
>> Apologies if this is a newbie question, but I've been able to use
>> get.hist.quote() to obtain quote information.
>>
>> However, is there a way to use this function to obtain dividend
>> distribution
>> information?  Or is there a function for doing this?
>>
>> Thanks,
>> Andrew
>>
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

```