highfrequency (version 0.7.0.1)

sampleTData: Sample of cleaned trades for stock XXX for 1 day

Description

An xts object containing the trades for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format. This is the cleaned version of the data sample sampleTDataRaw, using tradesCleanup and tradesCleanupUsingQuotes.

Usage

sampleTData

Format

A large xts object.

Examples

# NOT RUN {
#The code to create sampleTData from raw data is 
tradesAfterFirstCleaning <- tradesCleanup(tDataRaw = sampleTDataRaw, 
                                          exchanges = "N", report = FALSE)
                                          
cleanedQuotes <- quotesCleanup(qDataRaw = sampleQDataRaw, exchanges = "N", 
                               type = "standard", report = FALSE)
sampleTData <- tradesCleanupUsingQuotes(tData = tradesAfterFirstCleaning,
                                        qData = cleanedQuotes, lagQuotes = 2)
sampleTData <- sampleTData[,c("SYMBOL", "EX",  "PRICE", "SIZE", "COND", "CORR", "G127")]
# These are the historically included columns.
# }
# NOT RUN {
# }