(Last Updated On: March 29, 2016)
Lee and Ready algo for HFT bid ask spread ?
I don’t know this algo someone asked me via Facebook
I was wondering if you had information about the Lee and Ready algorithm
Sound like it can be used for bid ask spread in HFT uses
Python? And other HFT related algos.
OneTick analytics with commercial CEP database
The FinAsym package implements the Lee and Ready (1991) and Easley and O’Hara (1987) tests for, respectively, trade direction, and probability of informed trading.
HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>NOTE
I now post my TRADING ALERTS
into my personal FACEBOOK ACCOUNT
. Don't worry as I don't post stupid cat videos or what I eat!