getTradeDirection: Get trade direction
In highfrequency: Tools for Highfrequency Data Analysis

Function returns a vector with the inferred trade direction which is determined using the Lee and Ready algorithym (Lee and Ready, 1991).

1	getTradeDirection(tqdata,...);

`tqdata`	xts object, containing joined trades and quotes (e.g. using `matchTradesQuotes`)
`...`	additional arguments.

A vector which has values 1 or (-1) if the inferred trade direction is buy or sell respectively.

NOTE: The value of the first (and second) observation of the output should be ignored if price==midpoint for the first (second) observation.

Jonathan Cornelissen and Kris Boudt

Lee, C. M. C. and M. J. Ready (1991). Inferring trade direction from intraday data. Journal of Finance 46, 733-746.

highfrequency documentation built on May 2, 2019, 6:09 p.m.

highfrequency index

Package overview

Note that we can't provide technical support on individual packages. You should contact the package authors for that.

Description