Spreads and Mid Quotes

Description

Compute spreads and midquotes from price streams.

Usage

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spreads(x, which = c("Bid", "Ask"), tickSize = NULL)    
midquotes(x, which = c("Bid", "Ask"))

midquoteSeries(...)
spreadSeries(...)

Arguments

tickSize

the default is NULL to simply compute price changes in original price levels. If ticksize is supplied, the price changes will be divided by the value of inTicksOfSize to compute price changes in ticks.

which

a vector with two character strings naming the column names of the time series from which to compute the mid quotes and spreads. By default these are bid and ask prices with column names c("Bid", "Ask").

x

an object of class timeSeries.

...

arguments to be passed.

Value

all functions return an object of class timeSeries.

Note

The functions returnSeries, getReturns, midquoteSeries, spreadSeries are synonymes for returns, midquotes, and spreads.

Examples

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## Load the Microsoft Data -  
   setRmetricsOptions(myFinCenter = "GMT")
   data(MSFT)
   X = MSFT[1:10, ]
   head(X)

## Compute Open/Close Midquotes -
   X.MID <- midquotes(X, which = c("Close", "Open"))
   colnames(X.MID) <- "X.MID"
   X.MID

## Compute Open/Close Spreads -
   X.SPREAD <- spreads(X, which = c("Close", "Open"))
   colnames(X.SPREAD) <- "X.SPREAD"
   X.SPREAD

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