hfdata: High-frequency trade-data
In monty-se/PINstimation: Estimation of the Probability of Informed Trading
hfdata R Documentation
High-frequency trade-data
Description
A simulated dataset containing sample timestamp, price,
volume, bid and ask for 100 000 high frequency transactions.
Usage
hfdata
Format
A data frame with 100 000 observations with 5 variables:
-
timestamp: time of the trade.
-
price: transaction price.
-
volume: volume of the transactions, in asset units.
-
bid: best bid price.
-
ask: best ask price.
Source
Artificially created data set.
monty-se/PINstimation documentation built on Oct. 22, 2024, 8:04 p.m.
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.
| hfdata | R Documentation |
High-frequency trade-data
Description
A simulated dataset containing sample timestamp, price,
volume, bid and ask for 100 000 high frequency transactions.
Usage
hfdata
Format
A data frame with 100 000 observations with 5 variables:
-
timestamp: time of the trade. -
price: transaction price. -
volume: volume of the transactions, in asset units. -
bid: best bid price. -
ask: best ask price.
Source
Artificially created data set.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.