Function returns a vector with the inferred trade direction which is determined using the Lee and Ready algorithym (Lee and Ready, 1991).
getTradeDirection(tqdata,...);xts object, containing joined trades and quotes (e.g. using matchTradesQuotes)
additional arguments.
A vector which has values 1 or (-1) if the inferred trade direction is buy or sell respectively.
NOTE: The value of the first (and second) observation of the output should be ignored if price==midpoint for the first (second) observation.
Lee, C. M. C. and M. J. Ready (1991). Inferring trade direction from intraday data. Journal of Finance 46, 733-746.