rmNegativeSpread

<p>an xts object at least containing the columns "BID" and "OFR".</p>

qdata

<p>Function deletes entries for which the spread is negative.</p>

 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

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Maarten Schermer

rmNegativeSpread function

Delete entries for which the spread is negative — rmNegativeSpread

Delete entries for which the spread is negative

rmNegativeSpread: Delete entries for which the spread is negative

Description

Usage

Arguments

Value