Hasbrouck follows up on Kyle’s and Amihud’s ideas, and applies them to estimating the price impact coefficient based on trade-and-quote (TAQ) data.
Consistent with most of the literature, Hasbrouck recommends 5-minute time-bars for sampling ticks.
This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 289.
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This code can run slow when using big timeframes, it use copytick to get dollar volume, in a next version I will implement a temporary indicator to cumulative sum this values as a buffer
