Prof Holowczak Microstructure Trade Signing Example

In this example I use s simple spreadsheet example to introduce the idea of trade signing. Trade signing is a technique used in microstructure research to determine if a trade places buying or selling pressure on stock price. Using the RtGet function that comes with TR Eikon, we can easily pull in Bid, ask and last trade prices and then look at where the trades fall within the Bid and ask. Sure it makes lots of assumptions (namely the quotes change after the fact) but at least it is illustrative of the topic.