autoSelectExchangeTrades

an xts object with at least a column "EX", 
indicating the exchange symbol and "SIZE", 
indicating the trade volume. The chosen exchange is printed on the console.<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>

tdata

Function returns a data.table or xts object containing only observations of the 
exchange with the highest value for the variable "SIZE", 
i.e. the highest trade 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

autoSelectExchangeTrades function

Retain only data from the stock exchange with the highest trading volume — autoSelectExchangeTrades

Retain only data from the stock exchange with the highest trading volume

autoSelectExchangeTrades: Retain only data from the stock exchange with the highest trading volume

Description

Usage

Arguments

Value

Examples