Metadata-Version: 2.1
Name: bidask
Version: 2.0.1
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@usi.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 :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
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 estimator of bid-ask spreads from open, high, low, and close prices.


## Installation

Install this package with:

```bash
pip install bidask
```

## Usage

Import the estimator:

```python
from bidask import edge
```

Arguments:

```python
edge(open, high, low, close, sign=False)
```

| field   | description                                 |
| ------- | ------------------------------------------- |
| `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           |
| `sign`  | Whether signed estimates should be returned |

The input prices must be sorted in ascending order of the timestamp. 

The output value is the spread estimate. A value of 0.01 corresponds to a spread of 1%.

## Example

```python
import pandas as pd
from bidask import edge

df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
edge(df.Open, df.High, df.Low, df.Close)
```

## Cite as

> Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. *Journal of Financial Economics*, 161, 103916. [doi: 10.1016/j.jfineco.2024.103916](https://doi.org/10.1016/j.jfineco.2024.103916)

A BibTex  entry for LaTeX users is:

```bibtex
@article{edge,
  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
  journal = {Journal of Financial Economics},
  volume = {161},
  pages = {103916},
  year = {2024},
  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
}
```


