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
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