noZeroQuotes

Function deletes the observations where the bid or ask is zero.

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

noZeroQuotes function

<dl><dt>qData</dt>
<dd>an <code>xts</code> or <code>data.table</code> object at least containing the columns <code>BID</code> and <code>OFR</code>.</dd></dl>

Arguments

Jonathan Cornelissen and Kris Boudt.

Author

Delete the observations where the bid or ask is zero — noZeroQuotes

<dl>

<dt>qData</dt>
<dd>an <code>xts</code> or <code>data.table</code> object at least containing the columns <code>BID</code> and <code>OFR</code>.</dd>

</dl>

noZeroQuotes: Delete the observations where the bid or ask is zero

Description

Usage

Value

Arguments

Author