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.


  • $\begingroup$ Have you checked with the helpdesk? $\endgroup$ – oronimbus Dec 21 '18 at 13:21

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