autoSelectExchangeTrades

Filters raw trade data and return only data that stems from the exchange with the highest
 value for the variable <code>"SIZE"</code>, i.e. the highest trade 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

autoSelectExchangeTrades function

<dl><dt>tData</dt>
<dd>an <code>xts</code> object with at least a column <code>"EX"</code> 
indicating the exchange symbol and <code>"SIZE"</code>
indicating the trade volume.</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 trading volume — autoSelectExchangeTrades

<dl>

<dt>tData</dt>
<dd>an <code>xts</code> object with at least a column <code>"EX"</code> 
indicating the exchange symbol and <code>"SIZE"</code>
indicating the trade volume.</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>

autoSelectExchangeTrades: Retain only data from the stock exchange with the highest trading volume

Description

Usage

Value

Arguments

Author

Examples