bidask

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vectorized version

2

Is that possible to get a vectorized python version?

igaloly

Changed edge.py to calculate rolling spread on pandas objects

1

I've been using this for a while for online spread calculations from exchange data. Very useful! I've left the functionality to return a single float based on a single input...

jerseyjosh

How much historical data to use?

12

Great library, I love the pseudocode and python implementation. I read the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3892335 but cannot figure out what the recommended number of historical days to use is. Is...

tommedema

Does edge work with intraday data?

1

Must the open, high, low, and close prices be daily?

waynelapierre

Optimize the C++ version of edge

2

I find the current bidask::edge function quite slow. Since you already have edge coded in C++, could you port it to the R package using Rcpp? Also, some parts of...

waynelapierre