I need to compute the relative quoted spread, the daily average of the 5 min RQS and the book depth of FTSE100 and SX5P from January 2008 to November 2018.
Could someone explain me the steps I need to download:
the bid and ask spread at the end of the day;
infra-day ask and bid prices (every 5 min) for 6 months and, for the same period, the number of bid/ask observations;
the daily quantities (every 5 min) of securities available for exchange at the best ask and the best bid.