mergequotessametimestamp: Merge multiple quote entries with the same time stamp

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function replaces multiple quote entries that have the same time stamp by a single one and returns an xts object with unique time stamps only.

Usage

mergeQuotesSameTimestamp(qdata,selection="median")

Arguments

qdata

an xts object containing the time series data, with at least two columns named "BID" and "OFR" indicating the bid and ask price and two columns "BIDSIZ", "OFRSIZ" indicating the number of round lots available at these prices.

selection

indicates how the bid and ask price for a certain time stamp should be calculated in case of multiple observation for a certain time stamp. By default, selection="median", and the median price is taken. Alternatively: selection = "maxvolume": use the (bid/ask) price of the entry with largest (bid/ask) volume. selection = "weightedaverage": take the weighted average of all bid (ask) prices, weighted by "BIDSIZ" ("OFRSIZ").

Value

xts object

Author(s)

Jonathan Cornelissen and Kris Boudt

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