scrub_taq: Scrub a single day of _TAQ_ data in _xts_ format, without...

In algoquant/HighFreq: High Frequency Time Series Management

Scrub a single day of TAQ data in xts format, without aggregation.

Description

Scrub a single day of TAQ data in xts format, without aggregation.

Usage

scrub_taq(taq, look_back = 51, vol_mult = 2, tzone = "America/New_York")

Arguments

taq	TAQ A time series in xts format.
tzone	The timezone to convert.

Details

The function scrub_taq() performs the same scrubbing operations as scrub_agg, except it doesn't aggregate, and returns the TAQ data in xts format.

Value

A TAQ time series in xts format.

Examples

taq <- HighFreq::scrub_taq(taq=HighFreq::SPY_TAQ, look_back=11, vol_mult=1)
# Create random TAQ prices and scrub them
taq <- HighFreq::random_taq()
taq <- HighFreq::scrub_taq(taq=taq)
taq <- HighFreq::scrub_taq(taq=taq, look_back=11, vol_mult=1)

algoquant/HighFreq documentation built on Oct. 26, 2024, 9:20 p.m.