highfrequency (version 0.6.5)

rmNegativeSpread: Delete entries for which the spread is negative

Description

Function deletes entries for which the spread is negative.

Usage

rmNegativeSpread(qdata)

Arguments

qdata

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

Value

data.table or xts object

Examples

# NOT RUN {
rmNegativeSpread(sample_qdataraw_microseconds)

# }