rmLargeSpread

Function deletes entries for which the spread is more than <code>"maxi"</code> times the median
spread on that day.

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

rmLargeSpread 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>
<dt>maxi</dt>
<dd>an integer. By default <code>maxi = "50"</code>, which means that entries are deleted 
if the spread is more than 50 times the median spread on that day.</dd>
<dt>tz</dt>
<dd>fallback time zone used in case we we are unable to identify the timezone of the data, by default: <code>tz = NULL</code>. With the non-disk functionality, we attempt to extract the timezone from the DT column (or index) of the data, which may fail. 
In case of failure we use <code>tz</code> if specified, and if it is not specified, we use <code>"UTC"</code>. 
In the on-disk functionality, if tz is not specified, the timezone used will be the system default.</dd></dl>

Arguments

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

Author

Delete entries for which the spread is more than maxi times the median spread — rmLargeSpread

<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>


<dt>maxi</dt>
<dd>an integer. By default <code>maxi = "50"</code>, which means that entries are deleted 
if the spread is more than 50 times the median spread on that day.</dd>


<dt>tz</dt>
<dd>fallback time zone used in case we we are unable to identify the timezone of the data, by default: <code>tz = NULL</code>. With the non-disk functionality, we attempt to extract the timezone from the DT column (or index) of the data, which may fail. 
In case of failure we use <code>tz</code> if specified, and if it is not specified, we use <code>"UTC"</code>. 
In the on-disk functionality, if tz is not specified, the timezone used will be the system default.</dd>

</dl>

rmLargeSpread: Delete entries for which the spread is more than `maxi` times the median spread

Description

Usage

Value

Arguments

Author