autoSelectExchangeQuotes: Retain only data from the stock exchange with the highest...
In highfrequency: Tools for Highfrequency Data Analysis
Description
Usage
Arguments
Value
Author(s)
Description
Function returns an xts object containing only observations
of the exchange with highest
value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.
Usage
1
autoSelectExchangeQuotes(qdata)
Arguments
qdata
an xts object with at least a column "EX", indicating the exchange symbol
and columns "BIDSIZ" and "OFRSIZ", indicating
the volume available at the bid and ask respectively.
The chosen exchange is printed on the console.
The possible exchanges 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 object
Author(s)
Jonathan Cornelissen and Kris Boudt
highfrequency documentation built on May 2, 2019, 6:09 p.m.
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Description Usage Arguments Value Author(s)
Description
Function returns an xts object containing only observations of the exchange with highest value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.
Usage
1 | autoSelectExchangeQuotes(qdata)
|
Arguments
qdata |
an xts object with at least a column "EX", indicating the exchange symbol and columns "BIDSIZ" and "OFRSIZ", indicating the volume available at the bid and ask respectively. The chosen exchange is printed on the console. The possible exchanges are:
|
Value
xts object
Author(s)
Jonathan Cornelissen and Kris Boudt
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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