rmlargespread: Delete entries for which the spread is more than "maxi" times...
In R-Finance/RTAQ: RTAQ: Tools for the analysis of trades and quotes in R
Description
Usage
Arguments
Value
Details
Author(s)
Description
Function deletes entries for which the spread is more than "maxi" times the median
spread on that day.
Usage
1
rmLargeSpread(qdata,maxi)
Arguments
qdata
an xts object at least containing the columns "BID" and "OFR".
maxi
an integer. By default maxi="50",
which means that entries are deleted if the spread is more than 50 times the median spread on that day.
Value
xts object
Details
NOTE: This function works only correct if supplied input data consists of 1 day!
Author(s)
Jonathan Cornelissen and Kris Boudt
R-Finance/RTAQ documentation built on May 8, 2019, 4:48 a.m.
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Description Usage Arguments Value Details Author(s)
Description
Function deletes entries for which the spread is more than "maxi" times the median spread on that day.
Usage
1 | rmLargeSpread(qdata,maxi)
|
Arguments
qdata |
an xts object at least containing the columns "BID" and "OFR". |
maxi |
an integer. By default maxi="50", which means that entries are deleted if the spread is more than 50 times the median spread on that day. |
Value
xts object
Details
NOTE: This function works only correct if supplied input data consists of 1 day!
Author(s)
Jonathan Cornelissen and Kris Boudt
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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