mergeQuotesSameTimestamp

an xts object containing the time series data, with 
at least two columns named "BID" and "OFR" indicating the bid and ask price 
and two columns "BIDSIZ", "OFRSIZ" indicating the number of round lots available at these 
prices.

qdata

indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default, selection="median", and the median price is taken. Alternatively:<ul>
<li>selection = "maxvolume": use the (bid/ask) price of the entry with
largest (bid/ask) volume.</li>
<li>selection = "weightedaverage": take the weighted average of all bid (ask) prices,
weighted by "BIDSIZ" ("OFRSIZ").</li>
</ul>

selection

Function replaces multiple quote entries that have the same time stamp 
by a single one and returns an xts object with unique time stamps only.

 cleaning 

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

mergeQuotesSameTimestamp: Merge multiple quote entries with the same time stamp

Description

Usage

Arguments

Value