ticks.wide: calculate the quoted market bid/ask spread

In jmazar/obmodeling: Modeling, Analysis, and Graphics of Limit Order Book Data

calculate the quoted market bid/ask spread

Description

For quoted.spread, the bid ask spread will be calculated as

Usage

quoted.spread(symbol, store = FALSE)

ticks.wide(symbol, tick_size = NULL, store = FALSE)

Arguments

symbol	string defining the symbol to analyze
store	boolean defining whether to store result in order book environment, default FALSE
tick_size	numeric tick size to use as denominator, if NULL, look up using FinancialInstrument::getInstrument

Details

L1.AskPrice - L1.BidPrice

for ticks.wide the quoted spread will be additionally divided by the tick_size.

Value

xts object containing the spread

jmazar/obmodeling documentation built on March 27, 2022, 12:55 a.m.