highfrequency (version 0.5.3)

rmLargeSpread: Delete entries for which the spread is more than "maxi" times the median spread

Description

Function deletes entries for which the spread is more than "maxi" times the median spread on that day.

Usage

rmLargeSpread(qdata,maxi)

Arguments

qdata

an xts object at least containing the columns "BID" and "OFR".

maxi

an integer. By default maxi="50", which means that entries are deleted if the spread is more than 50 times the median spread on that day.

Value

xts object

Details

NOTE: This function works only correct if supplied input data consists of 1 day!