sample_tdata_microseconds

<p>An data.table object containing the trades for the imaginary stock XXX for 2 days, in the typical NYSE TAQ database format.
This is the cleaned version of the data sample <code><a rd-options="" href="/link/sample_tdataraw_microseconds?package=highfrequency&version=0.6.5" data-mini-rdoc="highfrequency::sample_tdataraw_microseconds">sample_tdataraw_microseconds</a></code>, using <code>tradesCleanup</code>.</p>

datasets

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

sample_tdata_microseconds function

Format

<p>An data.table object containing the trades for the imaginary stock XXX for 2 days, in the typical NYSE TAQ database format.
This is the cleaned version of the data sample <code><a rd-options='' href='sample_tdataraw_microseconds'>sample_tdataraw_microseconds</a></code>, using <code>tradesCleanup</code>.</p>

Sample of cleaned trades for stock XXX for 2 days — sample_tdata_microseconds

Sample of cleaned trades for stock XXX for 2 days

sample_tdata_microseconds: Sample of cleaned trades for stock XXX for 2 days

Description

Usage

Arguments

Format