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.
rmTradeOutliersUsingQuotes(tdata, qdata)a data.table or xts object containing the time series data, with at least the column "PRICE", containing the transaction price (ONE DAY ONLY).
a data.table or xts object containing the time series data with at least the columns "BID" and "OFR", containing the bid and ask prices (ONE DAY ONLY).
xts or data.table object depending on input
Note: in order to work correctly, the input data of this function should be cleaned trade (tdata) and quote (qdata) data respectively.