lee_ready_vec: Applies the Lee & Ready (1991) algorithm

In simonsays1980/tim: Estimation of Trade Indicator Models

Description

Applies the Lee & Ready (1991) algorithm

Usage

lee_ready_vec(price, bid_price, ask_price)

Arguments

price	a numeric vector containing the transaction price series.
bid_price	a numeric vector containing the bid price series.
ask_price	a numeric vector containing the ask price series.

Details

This function applies the algorithm by Lee & Ready (1991) to infer trade direction from prices. The function runs fast C++-code in the background using the Rcpp functionality. Note that the length of all input vectors have to be the same, otherwise the C++-code throws an exception.

Value

an integer vector containing the trade direction with a buy indicated as 1 and a sell indicated as -1

References

Lee and Ready (1991), "Inferring Trade Direction from Intraday Data," Journal of Finance, Vol. 42, Issue 2

simonsays1980/tim documentation built on July 19, 2019, 7:35 a.m.