Man pages for R-Finance/RTAQ
RTAQ: Tools for the analysis of trades and quotes in R
| aggregatePrice | Aggregate a time series but keep first and last observation |
| aggregateQuotes | Aggregate an xts object containing quote data |
| aggregateTrades | Aggregate an xts object containing trade data |
| aggregatets | Aggregate a time series |
| autoSelectExchangeQuotes | Retain only data from the stock exchange with the highest... |
| autoSelectExchangeTrades | Retain only data from the stock exchange with the highest... |
| convert | Convert trade or quote data into xts object saved in the... |
| ExchangeHoursOnly | Extract data from an xts object for the Exchange Hours Only |
| getTradeDirection | Get trade direction |
| harModel | HAR model estimation (Heterogeneous Autoregressive model for... |
| makePsd | Returns the positive semidinite projection of a symmetric... |
| makeReturns | Compute log returns |
| matchTradesQuotes | Match trade and quote data |
| medianN | medianN (internal function) |
| MedRV | MedRV |
| mergequotessametimestamp | Merge multiple quote entries with the same time stamp |
| mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp |
| MinRV | MinRV |
| nozeroprices | Delete the observations where the price is zero |
| nozeroquotes | Delete the observations where the bid or ask is zero |
| previoustick | previoustick (internal function) |
| quotescleanup | Cleans quote data |
| RBPCov | Realized BiPower Covariance |
| RCov | Realized Covariance |
| realized_library | The realized library from the Oxford-Man Institute of... |
| refreshTime | Synchronize (multiple) irregular timeseries by refresh time |
| rmlargespread | Delete entries for which the spread is more than "maxi" times... |
| rmNegativeSpread | Delete entries for which the spread is negative |
| rmoutliers | Delete entries for which the mid-quote is outlying with... |
| rmtradeoutliers | Delete transactions with unlikely transaction prices |
| ROWCov | Realized Outlyingness Weighted Covariance |
| RTAQ-package | RTAQ: Tools for the analysis of trades and quotes in R |
| RTSCov | Robust two time scale covariance estimation |
| salesCondition | Delete entries with abnormal Sale Condition. |
| sample_5minprices | Ten artificial time series for the NYSE trading days during... |
| sample_5minprices_jumps | Ten artificial time series (including jumps) for the NYSE... |
| sample_qdata | Sample of cleaned quotes for stock XXX for 1 day |
| sample_qdataraw | Sample of raw quotes for stock XXX for 1 day |
| sample_real5minprices | Sample of imaginary price data for 61 days |
| sample_tdata | Sample of cleaned trades for stock XXX for 1 day |
| sample_tdataraw | Sample of raw trades for stock XXX for 1 day |
| selectexchange | Retain only data from a single stock exchange |
| spotVol | Spot volatility estimation |
| sumN | sumN (internal function) |
| TAQload | Load trade or quote data into R |
| thresholdcov | Threshold Covariance |
| tqLiquidity | Calculate numerous (23) liquidity measures |
| tradescleanup | Cleans trade data |
| tradesCleanupFinal | Perform a final cleaning procedure on trade data |
| TSCov | Two time scale covariance estimation |
