Spread estimated based on high-frequency data

Based on the Consolidated Quote (CQ) dataset supplied by Prof. Hasbrouck, we generate a dataset with the pickle format of pandas, that can be downloaded from http://canisius.edu/~yany/python/TORQcq.pkl. Assume that the following data is located under C:\temp:

import pandas as pd 
cq=pd.read_pickle("c:/temp/TORQcq.pkl") 
print(cq.head() )

The output is shown here:

           date      time     bid     ofr  bidsiz  ofrsiz  mode  qseq
symbol                                                                
AC      19901101   9:30:44  12.875  13.125      32       5    10    50
AC      19901101   9:30:47  12.750  13.250       1       1    12     0
AC      19901101   9:30:51  12.750  13.250       1       1    12     0
AC      19901101   9:30:52  12.750  13.250       1       1    12     0
AC      19901101  10:40:13  12.750  13.125       2       2    12     0
>>>cq.tail() 
            date      time     bid     ofr  bidsiz  ofrsiz  mode...