rmTradeOutliers

a data.table or xts object containing the time series data, with at least the column "PRICE", containing the transaction price (ONE DAY ONLY).

tData

a data.table or xts object containing the time series data with at least the columns "BID" and "OFR", containing the bid and ask prices (ONE DAY ONLY).

qData

Deprecated - use rmTradeOutliers instead.

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

rmTradeOutliers: Delete transactions with unlikely transaction prices

Description

Usage

Arguments

Value