sample_tdata

<p>An xts object containing the trades for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format.
This is the cleaned version of the data sample <code><a rd-options="" href="/link/sample_tdataraw?package=highfrequency&version=0.5.3" data-mini-rdoc="highfrequency::sample_tdataraw">sample_tdataraw</a></code>, using <code><a rd-options="" href="/link/tradesCleanup?package=highfrequency&version=0.5.3" data-mini-rdoc="highfrequency::tradesCleanup">tradesCleanup</a></code>.</p>

datasets

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity.

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Maarten Schermer

sample_tdata function

Format

<p>An xts object containing the trades for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format.
This is the cleaned version of the data sample <code><a rd-options='' href='sample_tdataraw'>sample_tdataraw</a></code>, using <code><a rd-options='' href='tradesCleanup'>tradesCleanup</a></code>.</p>

Sample of cleaned trades for stock XXX for 1 day — sample_tdata

Sample of cleaned trades for stock XXX for 1 day

sample_tdata: Sample of cleaned trades for stock XXX for 1 day

Description

Usage

Arguments

Format