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null712/spread

Created July 16, 2014 19:00
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spread
dayi.trade <- data[grep(data$date[i],data$date),]
dayi.buy <- dayi.trade[grep(“BUY”,dayi.trade$action),]
dayi.sell <- dayi.trade[grep(“SELL”,dayi.trade$action),]
trade.buy[i] <- sum(dayi.buy$quant *
dayi.buy$price)/sum(dayi.buy$quant)
trade.sell[i] <- sum(dayi.sell$quant *
dayi.sell$price)/sum(dayi.sell$quant)
trade.spread[i] <- trade.buy[i]-trade.sell[i]
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