highfrequency (version 0.5.3)

matchTradesQuotes: Match trade and quote data

Description

Function matches the trades and quotes and returns an xts-object containing both.

Usage

matchTradesQuotes(tdata,qdata,adjustment=2)

Arguments

tdata

xts-object containing the trade data.

qdata

xts-object containing the quote data.

adjustment

numeric, number of seconds the quotes are registered faster than the trades (should be round and positive). Based on the research of Vergote (2005), we set 2 seconds as the default.

Value

xts-object containing the matched trade and quote data

References

Vergote, O. (2005). How to match trades and quotes for NYSE stocks? K.U.Leuven working paper.

Examples

# NOT RUN {
#load data samples
data("sample_tdata");
data("sample_qdata");
#match the trade and quote data
tqdata = matchTradesQuotes(sample_tdata,sample_qdata);
#have a look
head(tqdata);
# }