Function returns a vector with the inferred trade direction which is determined using the Lee and Ready algorithym (Lee and Ready, 1991).
xts object, containing joined trades and quotes (e.g. using
A vector which has values 1 or (-1) if the inferred trade direction is buy or sell respectively.
NOTE: The value of the first (and second) observation of the output should be ignored if price==midpoint for the first (second) observation.
Jonathan Cornelissen and Kris Boudt
Lee, C. M. C. and M. J. Ready (1991). Inferring trade direction from intraday data. Journal of Finance 46, 733-746.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.