Research Data Services (RDS)
A database of market microstructure measures.
Our objective is to construct and maintain a database of market micriostructure measures based on high-frequency tick history sourced from Refinitiv Thomson Reuters Tick History.
I provide an easy-to-use SQL interface for researchers to retrieve the data. Below is an example usage in SAS.
Currently, you’ll need to be inside the USYD’s network to use RDS. You can either use a PC inside the Business School or use VPN.
If you enconter this error:
ERROR: The SAS/ACCESS Interface to MYSQL cannot be loaded. The libmysql code appendage could not be loaded.
Solution is here http://support.sas.com/kb/19/250.html.
Let’s now use RDS to get a collection of measures estimated.
Let’s try plot a timeseries to prove it works.
The output is:
I wrote this system in Python and C/C++. A workstation of an 8-core 16-thread CPU, 64GB RAM and m.2. SSDs is used.
Behind the scene, the program classifies trade directions using Lee and Ready (1991) algorithm on the fly, and estimates several measures for each security and each day.
Results are stored in a MySQL database inside the university network, but may be stored and served at AWS in the future.
We plan to continue the development of this project and:
- cover more measures, securities and extend the data period;
- provide an easy-to-use web interface apart from the SQL interface;
- provide a REST API for more efficient and professional usage.
This project may contain errors. Users are recommended to double check the data quality before usage. We hold no responsibility for any damage and/or loss incurred as a result of using any data provided on this site. We may provide the source code for selected measures and encourage users to check it for correctness and accuracy.
If there is any bug and/or error, please contact me at email@example.com.