matchTradesQuotes: Match trade and quote data
In R-Finance/RTAQ: RTAQ: Tools for the analysis of trades and quotes in R

Description Usage Arguments Value Author(s) References Examples

Function matches the trades and quotes and returns an xts-object containing both.

1	matchTradesQuotes(tdata,qdata,adjustment=2)

`tdata`	xts-object containing the trade data. Please see pdf documentation for the recommended format.
`qdata`	xts-object containing the quote data. Please see pdf documentation for the recommended format.
`adjustment`	numeric, number of seconds the quotes are registered faster than the trades (should be round and positive). Based on the research of Vergote (2005), we set 2 seconds as the default.

xts-object containing the matched trade and quote data

Jonathan Cornelissen and Kris Boudt

Vergote, O. (2005). How to match trades and quotes for NYSE stocks? K.U.Leuven working paper.

#load data samples
data("sample_tdata");
data("sample_qdata");
#match the trade and quote data
tqdata = matchTradesQuotes(sample_tdata,sample_qdata);
#have a look
head(tqdata);