autoSelectExchangeQuotes

Filters raw quote data and return only data that stems from the exchange with the highest
value for the sum of <code>"BIDSIZ"</code> and <code>"OFRSIZ"</code>, i.e. the highest quote volume.

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. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

autoSelectExchangeQuotes function

<dl><dt>qData</dt>
<dd>a <code>data.table</code> or <code>xts</code> object with at least a column <code>"EX"</code>, indicating the exchange symbol 
and columns <code>"BIDSIZ"</code> and <code>"OFRSIZ"</code>, indicating 
the volume available at the bid and ask respectively.</dd>
<dt>printExchange</dt>
<dd>indicates whether the chosen exchange is printed on the console, default is <code>TRUE</code>.
The possible exchanges 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></dd></dl>

Arguments

Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.

Author

Retain only data from the stock exchange with the highest volume — autoSelectExchangeQuotes

<dl>

<dt>qData</dt>
<dd>a <code>data.table</code> or <code>xts</code> object with at least a column <code>"EX"</code>, indicating the exchange symbol 
and columns <code>"BIDSIZ"</code> and <code>"OFRSIZ"</code>, indicating 
the volume available at the bid and ask respectively.</dd>


<dt>printExchange</dt>
<dd>indicates whether the chosen exchange is printed on the console, default is <code>TRUE</code>.
The possible exchanges 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></dd>

</dl>

autoSelectExchangeQuotes: Retain only data from the stock exchange with the highest volume

Description

Usage

Value

Arguments

Author

Examples