Lee and Ready algo for HFT bid ask spread ?
I don’t know this algo someone asked me via Facebook
Hi BryanHow are you doing?I was wondering if you had information about the Lee and Ready algorithmant 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
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.