autoSelectExchangeQuotes

a data.table or xts object with at least a column "EX", indicating the exchange symbol 
and columns "BIDSIZ" and "OFRSIZ", indicating 
the volume available at the bid and ask respectively.
The chosen exchange is printed on the console.
The possible exchanges are:<ul>
<li>A: AMEX</li>
<li>N: NYSE</li>
<li>B: Boston</li>
<li>P: Arca</li>
<li>C: NSX</li>
<li>T/Q: NASDAQ</li>
<li>D: NASD ADF and TRF</li>
<li>X: Philadelphia</li>
<li>I: ISE</li>
<li>M: Chicago</li>
<li>W: CBOE</li>
<li>Z: BATS</li>
</ul>

qdata

Function returns an xts object containing only observations 
of the exchange with highest
value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.

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

Onno Kleen

autoSelectExchangeQuotes function

Retain only data from the stock exchange with the highest volume — autoSelectExchangeQuotes

Retain only data from the stock exchange with the highest volume

autoSelectExchangeQuotes: Retain only data from the stock exchange with the highest volume

Description

Usage

Arguments

Value

Examples