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highfrequency (version 0.7.0.1)

rmTradeOutliers: Delete transactions with unlikely transaction prices

Description

Deprecated - use rmTradeOutliers instead.

Usage

rmTradeOutliers(tData, qData)

Arguments

tData

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

qData

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).

Value

xts or data.table object depending on input