Man pages for R-Finance/RTAQ
RTAQ: Tools for the analysis of trades and quotes in R

aggregatePriceAggregate a time series but keep first and last observation
aggregateQuotesAggregate an xts object containing quote data
aggregateTradesAggregate an xts object containing trade data
aggregatetsAggregate a time series
autoSelectExchangeQuotesRetain only data from the stock exchange with the highest...
autoSelectExchangeTradesRetain only data from the stock exchange with the highest...
convertConvert trade or quote data into xts object saved in the...
ExchangeHoursOnlyExtract data from an xts object for the Exchange Hours Only
getTradeDirectionGet trade direction
harModelHAR model estimation (Heterogeneous Autoregressive model for...
makePsdReturns the positive semidinite projection of a symmetric...
makeReturnsCompute log returns
matchTradesQuotesMatch trade and quote data
medianNmedianN (internal function)
MedRVMedRV
mergequotessametimestampMerge multiple quote entries with the same time stamp
mergeTradesSameTimestampMerge multiple transactions with the same time stamp
MinRVMinRV
nozeropricesDelete the observations where the price is zero
nozeroquotesDelete the observations where the bid or ask is zero
previoustickprevioustick (internal function)
quotescleanupCleans quote data
RBPCovRealized BiPower Covariance
RCovRealized Covariance
realized_libraryThe realized library from the Oxford-Man Institute of...
refreshTimeSynchronize (multiple) irregular timeseries by refresh time
rmlargespreadDelete entries for which the spread is more than "maxi" times...
rmNegativeSpreadDelete entries for which the spread is negative
rmoutliersDelete entries for which the mid-quote is outlying with...
rmtradeoutliersDelete transactions with unlikely transaction prices
ROWCovRealized Outlyingness Weighted Covariance
RTAQ-packageRTAQ: Tools for the analysis of trades and quotes in R
RTSCovRobust two time scale covariance estimation
salesConditionDelete entries with abnormal Sale Condition.
sample_5minpricesTen artificial time series for the NYSE trading days during...
sample_5minprices_jumpsTen artificial time series (including jumps) for the NYSE...
sample_qdataSample of cleaned quotes for stock XXX for 1 day
sample_qdatarawSample of raw quotes for stock XXX for 1 day
sample_real5minpricesSample of imaginary price data for 61 days
sample_tdataSample of cleaned trades for stock XXX for 1 day
sample_tdatarawSample of raw trades for stock XXX for 1 day
selectexchangeRetain only data from a single stock exchange
spotVolSpot volatility estimation
sumNsumN (internal function)
TAQloadLoad trade or quote data into R
thresholdcovThreshold Covariance
tqLiquidityCalculate numerous (23) liquidity measures
tradescleanupCleans trade data
tradesCleanupFinalPerform a final cleaning procedure on trade data
TSCovTwo time scale covariance estimation
R-Finance/RTAQ documentation built on May 9, 2017, 9:41 p.m.