Tag Archives: Lee and Ready

Lee and Ready algo for HFT bid ask spread ?

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
Regards
Sound like it can be used for bid ask spread in HFT uses
http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Inferring%20trade%20direction%20from%20intraday%20data.pdf
http://www.mathworks.com/matlabcentral/fileexchange/34376-a-trade-classification-algorithm-from-market-quotes
Python? And other HFT related algos.
http://www.quantresearch.info/Panayides_Shohfi_Smith.pdf
OneTick analytics with commercial CEP database
https://www.onetick.com/frequently-asked-questions/14-faq-s/178-what-analytics-tools-are-available-with-onetick
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.
https://cran.r-project.org/web/views/Finance.html

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