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Do you mean the "realize measure" of volatility using the intraday Transaction-and-Quote data? If that's the case, just trade data, or mid-quote would be sufficient. Looking at Level II and level III data really introduces a lot of noises (hudge cancellation rates, orders placed by HFT blindly to gain time-priority advantage). Using those data to calculate ...


Possibly you might be able to first estimate the bid-ask spread from execution prices, using the method of Roll (1984), and then adjust the volatility for this. Essentially the bid-ask bounce adds to the underlying volatility, so knowing an estimate of the b/a and the apparent volatility, the underlying volatility could be recovered by subtraction. ...

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