Merge multiple transactions with the same time stamp

Description

Function replaces multiple transactions that have the same time stamp by a single one and returns an xts object with unique time stamps only.

Usage

1
mergeTradesSameTimestamp(tdata,selection="median")

Arguments

tdata

an xts object containing the time series data, with one column named "PRICE" indicating the transaction price and one column "SIZE" indicating the number of shares traded.

selection

indicates how the price for a certain time stamp should be calculated in case of multiple observation for a certain time stamp. By default, selection="median", and the median price is taken. Alternatively:

  • selection = "maxvolume": use the price of the transaction with largest volume.

  • selection = "weightedaverage": take the weighted average of all prices.

Value

xts object

Author(s)

Jonathan Cornelissen and Kris Boudt

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