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eguidotti / bidask

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
https://doi.org/10.1016/j.jfineco.2024.103916
GNU General Public License v3.0
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Python bidask==0.1.1 doesn't support "sign" #6

Closed impredicative closed 11 months ago

impredicative commented 1 year ago

The docs for the Python version of bidask mention sign=False. This kwargument however is not supported by the current latest version of bidask which is 0.1.1. The following exception occurs:

TypeError: edge() got an unexpected keyword argument 'sign'
eguidotti commented 1 year ago

Yes, version 0.1.1 currently on PyPI does not support the argument sign.

All the implementations at this repo have been updated and now use a revised version of the estimator. I'll upload the new implementations on PyPI for Python and on CRAN for R as soon as I'll update the paper on SSRN. This is expected to happen soon. If you would like to use the new implementation now, please install the version that is on github.

I'll keep this issue open and close it as soon as I'll release the new packages and paper. Thanks!

eguidotti commented 11 months ago

New preprint now available at SSRN

Version 2.0.0 now available at PyPI