Lee-Ready tick test using VBA - vba

Question

I am trying to build Lee-Ready tick test for estimating trade direction from tick data using Excel. I have a dataset containing the trade prices in descending order, and I am trying to build a VBA code that is able to loop over all the 4m+ cells in as efficient manner as possible.
The rule for estimating trade direciton goes as follows:
If Pt>Pt-1, then d=1
If Pt<Pt-1, then d=-1
If Pt=Pt-1, then d is the last value taken by d.
So to give a concrete example, I would like to transform this:
P1;P2;P3;P4
1.01;2.02;3.03;4.04
1.00;2.03;3.03;4.02
1.01;2.02;3.01;4.04
1.00;2.03;3.00;4.04
into this
d1;d2;d3;d4
1;-1;1;1
-1;1;1;-1
1;-1;1;0
0;0;0;0

Answer 1

Fairly straightforward nested loops suffice:
Function LeeReady(Prices As Variant) As Variant
'Given a range or 1-based, 2-dimensional variant array
'Returns an array of same size
'consisiting of an array of the same size
'of trade directions computed according to
'Lee-Ready rule
Dim i As Long, j As Long
Dim m As Long, n As Long
Dim priceData As Variant, directions As Variant
Dim current As Variant, previous As Variant
If TypeName(Prices) = "Range" Then
priceData = Prices.Value
Else
priceData = Prices
End If
m = UBound(priceData, 1)
n = UBound(priceData, 2)
ReDim directions(1 To m, 1 To n) As Long 'implicitly fills in bottom row with 0s
For i = m - 1 To 1 Step -1
For j = 1 To n
current = priceData(i, j)
previous = priceData(i + 1, j)
If current > previous Then
directions(i, j) = 1
ElseIf current < previous And previous > 0 Then
directions(i, j) = -1
Else
directions(i, j) = directions(i + 1, j)
End If
Next j
Next i
LeeReady = directions
End Function
This can be called from a sub or used directly on the worksheet:
Here I just highlighted a block of cells of the correct size to hold the output and then used the formula =LeeReady(A2:D5) (pressing Ctrl+Shift+Enter to accept it as an array formula).
On Edit: I modified the code slightly (by adding the clause And previous > 0 to the If statement in the main loop) so that it can now handle ranges in which come of the columns have more rows than other columns. The code assumes that price data is always > 0 and fills in the return array with 0s as place holders in the columns that end earlier than other columns: