Match trade and quote data
Function matches the trades and quotes and returns an xts-object containing both.
xts-object containing the trade data.
xts-object containing the quote data.
numeric, number of seconds the quotes are registered faster than the trades (should be round and positive). Based on the research of Vergote (2005), we set 2 seconds as the default.
xts-object containing the matched trade and quote data
Jonathan Cornelissen and Kris Boudt
Vergote, O. (2005). How to match trades and quotes for NYSE stocks? K.U.Leuven working paper.
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