How to calculate spread with price at time t and bid and ask after t + 5 min?

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NS 2019-7-17

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https://ww2.mathworks.cn/matlabcentral/answers/472218-how-to-calculate-spread-with-price-at-time-t-and-bid-and-ask-after-t-5-min

评论： darova 2019-7-18

MATLAB EXAMPLE SPREAD.xlsx

I have to calculate this spread measure wherein i have DATETIME column in format shown along with PRICE and BID and ASK rates. How to calculate S as given by formula for every minute -

S= PRICE(t) − [BID(t+5) + OFR(t+5) /2]

Also, there might be days in which not all minutes are available as there might be missing minutes.

Also, since i have to run this for each day separately using cell array with split dates how to do this using cell array function?

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NS 2019-7-17

kindly reply?

darova 2019-7-18

在 MATLAB Online 中打开

If you want to do this in MATLAB

n = length(BID)-5;
S = zeros(n,1);
for i = 1:n
    S(i) = PRICE(i) - (BID(i+5)+OFR(i+5))/2;
end

But it easy to do in Excel. What do you think?

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