effective.spread: effective bid/ask spread defined from trades
In jmazar/obmodeling: Modeling, Analysis, and Graphics of Limit Order Book Data
View source: R/effective_spread.R
effective.spread R Documentation
effective bid/ask spread defined from trades
Description
effective bid/ask spread defined from trades
Usage
effective.spread(symbol, store = FALSE)
Arguments
symbol
string defining the symbol to analyze
store
boolean defining whether to store result in order book environment, default FALSE
References
Jong, Rindi de. 2009. The Microstructure of Financial Markets. Cambridge. p. 93 Definition 3
jmazar/obmodeling documentation built on March 27, 2022, 12:55 a.m.
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View source: R/effective_spread.R
| effective.spread | R Documentation |
effective bid/ask spread defined from trades
Description
effective bid/ask spread defined from trades
Usage
effective.spread(symbol, store = FALSE)
Arguments
symbol |
string defining the symbol to analyze |
store |
boolean defining whether to store result in order book environment, default FALSE |
References
Jong, Rindi de. 2009. The Microstructure of Financial Markets. Cambridge. p. 93 Definition 3
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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