qf15 is a software package accompanying paper
Martin Smid. Econometrics of Zero Intelligence Models by Means of L1 Data. submitted to Quantitative Finance, 2015.
This file contains an information how to install the package and replicate results from the paper.
The following conditions must be fulfilled for qf15 to run on Linux. Running on other OS's are analogous but may require changes in source code.
-
folders
hfd, with all permisions present elsewhere, containinng subfoldersdatalatexinter/csv
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file
index.csvof zero length present in thehfdfolder -
program
7zinstalled somewhere in path
qf15 is built by means of Code::Blocks, project qf15.cbp. Fro the program to be built, it must be
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boostlibrary installed somewhere on computer, its include path added to `Build Options/Search directories/Compiler' of the project -
nloptlibrary installed somewhere, its include path added to the project (as above) and a path to the library itself added to `Build Options/Search directories/Linker' of the project
The executable is then build e.g., by Build/Build of Code::Blocks.
Data are imported from the format of trade and quote tada provided by [www.tickdata.com] as of year 2009, i.e., one zipfile per one day, where the file for quotes of yyyy.mm.dd are stored in dataroot/yyyy/mm/QUOTES where dataroot is a foldear all the data are stored. The trades find itself in dataroot/yyyy/mm/TRADES
The data are imported by
qf15 Ihfdroot dataroot
where hfdroot is the folder in which hfd finds itself. Notice, that the file intex.csv has to be empty before the import. To replecate the results from the paper, data from March and April 2009 must be present in the source folder.
To replicate Appendix C1, use
qf15 zhfdroot
To replicate Appendix C2, use
qf15 ghfdroot
An alternative to importing commercial data could be to create the internal database independenty. Its structure is as follows: data of each stock-market pair are storded in a separate file in
hfdroot/data/stock_market_yyyymmdd.bin
such that the individual records are binary images if struct hfdrecord (for its structure, see hfd.hpp).
The list of all those stockpair-days is stored in
hfdroot/index.csv
which is a csv file without heading where each line has a structure
yyyy,mm,dd,stock,market,datatype
where datatype may be presently equal only to 1. For rescords for each stock-market pair must be stored time ascending way.