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:

pip install mktstructure

Quick Start

Use -h or --help to see the usage instruction:

$ 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:

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.

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.

mktstructure classify --all --data_dir "./data"

4. Compute

Lastly, use the compute subcommand to compute specified market microstructure measures:

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.