selectExchange: Retain only data from a single stock exchange
In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis
selectExchange R Documentation
Retain only data from a single stock exchange
Description
Filter raw trade data to only contain specified exchanges
Usage
selectExchange(data, exch = "N")
Arguments
data
an xts or data.table object containing the time series data.
The object should have a column "EX", indicating the exchange by its symbol.
exch
The (vector of) symbol(s) of the stock exchange(s) that should be selected.
By default the NYSE is chosen (exch = "N"). Other exchange symbols are:
A: AMEX
N: NYSE
B: Boston
P: Arca
C: NSX
T/Q: NASDAQ
D: NASD ADF and TRF
X: Philadelphia
I: ISE
M: Chicago
W: CBOE
Z: BATS
Value
xts or data.table object depending on input.
Author(s)
Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.
jonathancornelissen/highfrequency documentation built on Jan. 10, 2023, 7:29 p.m.
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| selectExchange | R Documentation |
Retain only data from a single stock exchange
Description
Filter raw trade data to only contain specified exchanges
Usage
selectExchange(data, exch = "N")
Arguments
data |
an |
exch |
The (vector of) symbol(s) of the stock exchange(s) that should be selected.
By default the NYSE is chosen (
|
Value
xts or data.table object depending on input.
Author(s)
Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.
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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