highfrequency (version 0.7.0.1)

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

Description

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 sampleTDataRawMicroseconds, using tradesCleanup.

Usage

sampleTDataMicroseconds

Format

A data.table object.

Examples

# NOT RUN {
# The code to create the sampleTDataMicroseconds dataset from raw data is
sampleQDataMicroseconds <- quotesCleanup(qDataRaw = sampleQDataRawMicroseconds,
                                         exchanges = "N", type = "standard", report = FALSE)

tradesAfterFirstCleaning <- tradesCleanup(tDataRaw = sampleTDataRawMicroseconds, 
                                          exchanges = "N", report = FALSE)

sampleTDataMicroseconds <- tradesCleanupUsingQuotes(
  tData = tradesAfterFirstCleaning,
  qData = sampleQDataMicroseconds,
  lagQuotes = 0)[, c("DT", "SYMBOL", "PRICE", "SIZE")]
# Only some columns are included. These are the ones that were historically included.
# }
# NOT RUN {
# }