Analysis of Tick Data using Java
Budget: ₹1,500 – ₹12,500 INR
I have 4 days' worth of tick data for 100 Scandinavian blue chip stocks.
I need to complete a report and include the following data on a stock by stock basis.
I need to complete a report and include the following data on a stock by stock basis. This would mean that the results are on a new CSV file or other desired format.
Mean time between trades
Median time between trades
Mean time between tick changes
Median time between tick changes
Longest time between trades
Longest time between tick changes
Mean bid ask spread
Median bid ask spread
Examples of the round number effect - (both in traded values and traded volumes - i.e. is there an increased probability of the last digit on prices being a 0 compared to other last digits) --> I am not very familiar with this and not sure what is expected here.
The CSV has the following fields / columns:
1 = Bloomberg Code/Stock identifier
3 = Bid Price
4 = Ask Price
5 = Trade Price
6 = Bid Volume
7 = Ask Volume
8 = Trade Volume
9 = Update type => 1=Trade; 2= Change to Bid (Px or Vol); 3=Change to Ask (Px or Vol)
11 = Date
12 = Time in seconds past midnight
15 = Condition codes
Some essential notes:
This data is over several days and so when no trading occurs there are large time gaps to take into account so as not to skew the figures. --> The gaps you see in the data are due to market close. You should filter out the gap in the account.
Please also exclude auctions from your analysis. There should be c. 2 auctions a day - morning and afternoon. During this period you will see crossed spreads (i.e. bid price is larger than ask price) along with specific condition codes. Please only include the XT condition code (along with no condition code). --> This is quite straightforward as we have to filter out data where the condition codes = "XT" or blank and nothing else.
Dataset zip can be found here: https://itarle.com/data-set-tests/
I need to complete a report and include the following data on a stock by stock basis.
I need to complete a report and include the following data on a stock by stock basis. This would mean that the results are on a new CSV file or other desired format.
Mean time between trades
Median time between trades
Mean time between tick changes
Median time between tick changes
Longest time between trades
Longest time between tick changes
Mean bid ask spread
Median bid ask spread
Examples of the round number effect - (both in traded values and traded volumes - i.e. is there an increased probability of the last digit on prices being a 0 compared to other last digits) --> I am not very familiar with this and not sure what is expected here.
The CSV has the following fields / columns:
1 = Bloomberg Code/Stock identifier
3 = Bid Price
4 = Ask Price
5 = Trade Price
6 = Bid Volume
7 = Ask Volume
8 = Trade Volume
9 = Update type => 1=Trade; 2= Change to Bid (Px or Vol); 3=Change to Ask (Px or Vol)
11 = Date
12 = Time in seconds past midnight
15 = Condition codes
Some essential notes:
This data is over several days and so when no trading occurs there are large time gaps to take into account so as not to skew the figures. --> The gaps you see in the data are due to market close. You should filter out the gap in the account.
Please also exclude auctions from your analysis. There should be c. 2 auctions a day - morning and afternoon. During this period you will see crossed spreads (i.e. bid price is larger than ask price) along with specific condition codes. Please only include the XT condition code (along with no condition code). --> This is quite straightforward as we have to filter out data where the condition codes = "XT" or blank and nothing else.
Dataset zip can be found here: https://itarle.com/data-set-tests/