calcMarket.Measures: Calculates Standard Market Micro-Structures (WMP, MP,...

Description Usage Arguments Author(s)

Description

Calculates Standard Market Micro-Structures (WMP, MP, Bid-Ask)

Usage

1
calcMarket.Measures(market.data, contract, TT_MinTick = FALSE)

Arguments

market.data

Raw TOB market data from either TRS or MDR

contract

Contract for which you desire to get market micro-structure measures.

TT_MinTick

A boolean to determine if we should use the TT mintick or TRS mintick.

Author(s)

Nicholas Dregne


helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.