Function replaces multiple quote entries that have the same time stamp by a single one and returns an xts object with unique time stamps only.
mergeQuotesSameTimestamp(qData, selection = "median")an xts object or data.table containing the time series data, with at least two columns named "BID" and "OFR" indicating the bid and ask price and two columns "BIDSIZ", "OFRSIZ" indicating the number of round lots available at these prices. For data.table an additional column "DT" is necessary that stores the date/time information.
indicates how the bid and ask price for a certain time stamp should be calculated in case of multiple observation for a certain time stamp. By default, selection = "median", and the median price is taken. Alternatively:
selection = "max.volume": use the (bid/ask) price of the entry with largest (bid/ask) volume.
selection = "weighted.average": take the weighted average of all bid (ask) prices, weighted by "BIDSIZ" ("OFRSIZ").
xts or data.table object depending on input