Given Bid Ask Hang Seng Index Future Data, how can I determine whether the current index future price has gone up or down relative to the last price?
Bid Ask 20,000 20,001 20,000 20,000 19,999 20,001 19,999 20,000
Since the index future is always in integer form, I was thinking of using "Mid Price" , i.e.
Bid + trunc((Ask - Bid) / 2) in
R and then comparing the mid price with its previous mid price in order to determine whether the index future price has gone up or down? Is this right approach ?
I would really appreciate any insights into this. Thanks.