Lee and Ready algo for HFT bid ask spread ?

(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

Hi Bryan
How are you doing?
I was wondering if you had information about the Lee and Ready algorithm
ant librery?
any library in R or Java
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
R package:
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.
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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