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As someone who has contributed to literature, I am purposefully vague with the use of mid price. Not that I don't define it but that it is difficult to state which definition is the best in which context. Here are an example of a few definitions of mid price: Last Trade: The physical price at which the most recent trade physically took place. This is ...


4

Question 1. Actually, the assumption of trade data format is that you have timestamp, size and price (not bid/ask) of trade. Sometimes, trades(ticks) are included to Level 1 data (also called BBO) which assumes bid and ask information. However, bars are constructed on trades, not quotes. Question 2. Yes, T value is derived from equation 3. The process is ...


3

Data that includes the names of the parties is definitely not freely available, only exchanges would have it and they will share it only with their regulators. Regarding data without names, that is called tick-data as LocalVolatility states. To the best of my knowledge, you need to pay for this data.


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There is an open source hedge fund project which is implementing the ideas contained in the book and which has a github where you can see their code implementation of tick bars. Personally I always find it extremely enlightening to see code rather than mathematical symbolism, and maybe this will be the same for you. On the linked pages there are also links ...


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For the SPX, First Rate Data - SPX intraday has about 6 years of 1-minute intraday data.


1

In a dealer market the public is always overcharged when they try to buy, and receives less than value when they try to sell (the dealer makes a living from the difference). It is reasonable to assume the midpoint between these prices, i.e. between the bid and the ask, represents the unobservable "fair value" for a small amount of the asset. It is just an ...


1

Try NSE: in the URL Example : NSE:TITAN NSE:TATASTEEL etc Also replace demo apikey with your APIKey https://www.alphavantage.co/query?function=TIME_SERIES_INTRADAY&symbol=NSE:TITAN&interval=5min&apikey=your apikey&datatype=csv


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