FTEC5530代做、代写MATLAB设计程序-代写Matlab编程

FTEC5530 Assignment I. Calculation of Stock Market Micro-structure

Tick data sample(trade and quote) is provided in the month of 2020 Dec(trade.csv and

quote.csv)

1. Estimate the Average Daily Volume (ADV), Average Daily Turnover (ADTV) and daily

volatility (Annualized), average spread, avg quote size of each stock in the month of 2020

Dec. （score: 40% ）

Result should be in a format like below:

Stock ADV ADTV

Daily

Volatility Spread (bps) Quote Size

000001.SZSE

600030.SHSE

Hint: generate daily data from trade and quote and perform above calculations

2. Generate the intraday market micro-structure report for stock 600030, draw the every 5-

min intraday chart for volume profile, intraday volatility(normalized to one

day)/spread/quote size profile (score: 60% )

Format sample:

time intradayVolatility spread quoteSize volpct

9:25 0.5%

9:30 4.3% 7.8 17,871 4.6%

9:35 3.4% 7.3 20,000 4.2%

9:40 2.8% 6.7 22,660 3.4%

9:45 3.5% 6.8 19,209 3.4%

9:50 2.7% 6.6 23,124 2.9%

Hint: generate minutely data from the raw and quote data, and perform calculation.

Kdb sample code:

t: ("DSTFF";enlist ",") 0:`$"c:/temp/trade.csv";

q: ("DSTFFFF";enlist ",") 0:`$"c:/temp/quote.csv";

q: select from q where time within (09:30;11:29:59.999) or time within (13:00;14:59:59.000);

//remove auction quote

Requirement:

Provide both of your code script (python/R/MATLAB/KDB or other languages) and result. KDB is

preferred.