[R-SIG-Finance] high frequency data analysis in R

Eugene Tyurin etyurin at skipstonellc.com
Thu May 21 19:48:45 CEST 2009

High-frequency is not my specialty either, but a quote caught my attention:

On Thu, May 21, 2009 at 11:38 AM, Michael <comtech.usa at gmail.com> wrote:
> My data are price change arrivals, irregularly spaced. But when there
> is no price change, the price stays constant. Therefore, in fact, at
> any time instant, you give me a time, I can give you the price at that
> very instant of time. So irregularly spaced data can be easily sampled
> to be regularly spaced data.

>From a trader's perspective, you do not have "the price" at any time
outside of the instant a trade took place - you have NBBO (and market
depth). Last trade's price may or may not be transactable again on
either long or short side.

You can alternatively say that you have an instanteneous "mid-market
price" and a bid/ask spread to work with.

Correct me if I'm wrong - I'd like to know how people in HF really
look at their data.

-- ET.

More information about the R-SIG-Finance mailing list