Get trade direction

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Description

Function returns a vector with the inferred trade direction which is determined using the Lee and Ready algorithym (Lee and Ready, 1991).

Usage

1

Arguments

tqdata

xts object, containing joined trades and quotes (e.g. using matchTradesQuotes)

...

additional arguments.

Value

A vector which has values 1 or (-1) if the inferred trade direction is buy or sell respectively.

Details

NOTE: The value of the first (and second) observation of the output should be ignored if price==midpoint for the first (second) observation.

Author(s)

Jonathan Cornelissen and Kris Boudt

References

Lee, C. M. C. and M. J. Ready (1991). Inferring trade direction from intraday data. Journal of Finance 46, 733-746.

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