Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

Table 2

Baoli Real Estate tick-by-tick ultrahigh frequency sample data.

Time	Price	Buy/sell	Volume
9:30:00	12.29	B	1000
9:30:00	12.29	B	1000
9:30:00	12.29	B	154
9:30:00	12.29	S	800
9:30:00	12.29	S	46
9:30:00	12.29	S	154
9:30:00	12.30	B	100
9:30:02	12.29	S	46
9:30:02	12.29	S	1000
9:30:02	12.29	S	354
9:30:02	12.29	S	2000
9:30:02	12.29	S	1000
9:30:02	12.29	S	4846
9:30:02	12.29	S	1000