selectExchange

an xts or data.table object containing the time series data. 
The object should have a column "EX", indicating the exchange by its symbol.

data

The (vector of) symbol(s) of the stock exchange(s) that should be selected.
By default the NYSE is chosen (exch = "N"). Other exchange symbols are:<ul>
<li>A: AMEX</li>
<li>N: NYSE</li>
<li>B: Boston</li>
<li>P: Arca</li>
<li>C: NSX</li>
<li>T/Q: NASDAQ</li>
<li>D: NASD ADF and TRF</li>
<li>X: Philadelphia</li>
<li>I: ISE</li>
<li>M: Chicago</li>
<li>W: CBOE</li>
<li>Z: BATS</li>
</ul>

exch

Function returns an xts object containing the data of only 1 stock exchange.

cleaning

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

selectExchange: Retain only data from a single stock exchange

Description

Usage

Arguments

Value