rmtradeoutliers: Delete transactions with unlikely transaction prices
In highfrequency: Tools for Highfrequency Data Analysis

Description Usage Arguments Value Details Author(s)

Function deletes entries with prices that are above the ask plus the bid-ask spread. Similar for entries with prices below the bid minus the bid-ask spread.

1	rmTradeOutliers(tdata,qdata)

`tdata`	an xts object containing the time series data, with at least the column "PRICE", containing the transaction price.
`qdata`	an xts object containing the time series data, with at least the columns "BID" and "OFR", containing the bid and ask prices.

xts object

Note: in order to work correctly, the input data of this function should be cleaned trade (tdata) and quote (qdata) data respectively.

Jonathan Cornelissen and Kris Boudt

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