Description Usage Arguments Author(s)
Calculates Standard Market Micro-Structures (WMP, MP, Bid-Ask)
1 | calcMarket.Measures(market.data, contract, TT_MinTick = FALSE)
|
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. |
Nicholas Dregne
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