Metadata-Version: 2.1
Name: bidask
Version: 0.1.1
Summary: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Home-page: https://github.com/eguidotti/bidask
License: GPL-3.0-or-later
Author: Emanuele Guidotti
Author-email: emanuele.guidotti@unine.ch
Requires-Python: >=3.6,<4.0
Classifier: License :: OSI Approved :: GNU General Public License v3 or later (GPLv3+)
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Requires-Dist: numpy
Project-URL: Repository, https://github.com/eguidotti/bidask
Description-Content-Type: text/markdown

# Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Implements an efficient estimation procedure of the bid-ask spread from Open, High, Low, and Close prices as proposed in [Ardia, Guidotti, Kroencke (2021)](https://www.ssrn.com/abstract=3892335)

## Installation

Install this package with:

```bash
pip install bidask
```

## Usage

Import the estimator

```python
from bidask import edge
```

Estimate the spread

```python
edge(open, high, low, close)
```

- `open`: array-like vector of Open prices.
- `high`: array-like vector of High prices.
- `low`: array-like vector of Low prices.
- `close`: array-like vector of Close prices.

Prices must be sorted in ascending order of the timestamp.

## Cite as

*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335*

A BibTex  entry for LaTeX users is:

```bibtex
@unpublished{edge2021,
    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
    year   = {2021},
    note   = {Available at SSRN}
    url    = {https://ssrn.com/abstract=3892335}
}
```

