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 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.