Metadata-Version: 2.1
Name: mktstructure
Version: 0.2.2
Summary: Download data from Refinitiv Tick History and compute some market microstructure measures.
Home-page: https://github.com/mgao6767/mktstructure
Author: Mingze Gao
Author-email: mingze.gao@sydney.edu.au
License: MIT
Description: # mktstructure
        
        A simple command-line tool to download data from Refinitiv Tick History and compute some market microstructure measures.
        
        ## Installation
        
        You can install `mktstructure` via `pip`:
        
        ``` bash
        pip install mktstructure
        ```
        
        ## Quick Start
        
        Use `-h` or `--help` to see the usage instruction:
        
        ``` bash
        $ mktstructure -h
        usage: 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 `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
        ```
        
        ### 1. Download data
        
        Let's download the tick history for all S&P500 component stocks from Jan 1, 2022, to Jan 31, 2022:
        
        ``` bash
        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.
        
        ### 2. Clean data
        
        Then we clean the downloaded and parsed data in the `./data` folder: sorting by time, removing duplicates, etc.
        
        ``` bash
        mktstructure clean --all --data_dir "./data" --replace
        ```
        
        The ``--replace`` flag, if set, asks the program to replace the data file with the cleaned one to save disk space.
        
        ### 3. Classify trade directions
        
        Use the `classify` subcommand to classify trades into buys and sells by the Lee and Ready (1991) algorithm.
        
        ``` bash
        mktstructure classify --all --data_dir "./data"
        ```
        
        ### 4. Compute
        
        Lastly, use the `compute` subcommand to compute specified market microstructure measures:
        
        ``` bash
        mktstructure compute --all --data_dir "./data" --out bidaskspread.csv --bid_ask_spread
        ```
        
        ## Note
        
        This tool is still a work in progress. Some breaking changes may be expected but will be kept minimal.
        
Platform: UNKNOWN
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.8
Classifier: Intended Audience :: End Users/Desktop
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Intended Audience :: Education
Classifier: Intended Audience :: Science/Research
Classifier: Topic :: Scientific/Engineering :: Information Analysis
Description-Content-Type: text/markdown; charset=UTF-8; variant=GFM
