noZeroQuotes

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

qdata

<p>Function deletes the observations where the bid or ask is zero.</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

Onno Kleen

noZeroQuotes function

Delete the observations where the bid or ask is zero — noZeroQuotes

Delete the observations where the bid or ask is zero

noZeroQuotes: Delete the observations where the bid or ask is zero

Description

Usage

Arguments

Value