mergeQuotesSameTimestamp

Merge quote entries that have the same time stamp to a single one and returns an <code>xts</code> or a <code>data.table</code> object
 with unique time stamps only.

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

mergeQuotesSameTimestamp function

<dl><dt>qData</dt>
<dd>an <code>xts</code> object or <code>data.table</code> containing the time series data, with 
at least two columns named <code>BID</code> and <code>OFR</code> indicating the bid and ask price 
as well as two columns <code>BIDSIZ</code>, <code>OFRSIZ</code> indicating the number of round lots available at these 
prices. For <code>data.table</code> an additional column <code>DT</code> is necessary that stores the date/time information.</dd>
<dt>selection</dt>
<dd>indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default, <code>selection = "median"</code>, and the median price is taken. Alternatively:<ul>
<li><code>selection = "max.volume"</code>: use the (bid/ask) price of the entry with
largest (bid/ask) volume.</li>
<li><code>selection = "weighted.average"</code>: take the weighted average of all bid (ask) prices,
weighted by "BIDSIZ" ("OFRSIZ").</li>
</ul></dd></dl>

Arguments

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

Author

Merge multiple quote entries with the same time stamp — mergeQuotesSameTimestamp

<dl>

<dt>qData</dt>
<dd>an <code>xts</code> object or <code>data.table</code> containing the time series data, with 
at least two columns named <code>BID</code> and <code>OFR</code> indicating the bid and ask price 
as well as two columns <code>BIDSIZ</code>, <code>OFRSIZ</code> indicating the number of round lots available at these 
prices. For <code>data.table</code> an additional column <code>DT</code> is necessary that stores the date/time information.</dd>


<dt>selection</dt>
<dd>indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default, <code>selection = "median"</code>, and the median price is taken. Alternatively:<ul>
<li><code>selection = "max.volume"</code>: use the (bid/ask) price of the entry with
largest (bid/ask) volume.</li>
<li><code>selection = "weighted.average"</code>: take the weighted average of all bid (ask) prices,
weighted by "BIDSIZ" ("OFRSIZ").</li>
</ul></dd>

</dl>

mergeQuotesSameTimestamp: Merge multiple quote entries with the same time stamp

Description

Usage

Value

Arguments

Author