selectExchange: Retain only data from a single stock exchange

In highfrequency: Tools for Highfrequency Data Analysis

Retain only data from a single stock exchange

Description

Filter raw trade data to only contain specified exchanges

Usage

selectExchange(data, exch = "N")

Arguments

data	an xts or data.table object containing the time series data. The object should have a column "EX", indicating the exchange by its symbol.
exch	The (vector of) symbol(s) of the stock exchange(s) that should be selected. By default the NYSE is chosen (exch = "N"). Other exchange symbols are: A: AMEX N: NYSE B: Boston P: Arca C: NSX T/Q: NASDAQ D: NASD ADF and TRF X: Philadelphia I: ISE M: Chicago W: CBOE Z: BATS

Value

xts or data.table object depending on input.

Author(s)

Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.

highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.