# 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`:
``` bash
pip install mktstructure
```
## Quick Start
Use `-h` or `--help` to see the usage instruction:
``` bash
$ 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:
``` bash
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.
``` bash
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.
``` bash
mktstructure classify --all --data_dir "./data"
```
### 4. Compute
Lastly, use the `compute` subcommand to compute specified market microstructure measures:
``` bash
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.
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