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Matching best Bid and Ask per minute

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  1. #1
    Registered User
    Join Date
    02-19-2021
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    Bergen, Norway
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    Microsoft 365
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    Matching best Bid and Ask per minute

    Hi,

    I would like to be able to match the best Bid and Ask per minute. In other words, i would like
    the lowest Ask to be matched with highest Bid. I've got an intraday dataset
    with ID indicating Ask and Bid (Ask=1, Bid=0), price, and timestamp down to second of the day.
    I'm not sure how it could be practically extracted, or whether an direct calculation of Bid-ask spread
    would be the best solution.

    I've attached an example with the numbers i want matched in bold. Any help would be appreciated

    Best
    ExcelNick
    Attached Files Attached Files

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