rmNegativeSpread

Function deletes entries for which the spread is negative.

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

rmNegativeSpread function

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

Arguments

Jonathan Cornelissen, Kris Boudt and Onno Kleen

Author

Delete entries for which the spread is negative — rmNegativeSpread

<dl>

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

</dl>

rmNegativeSpread: Delete entries for which the spread is negative

Description

Usage

Value

Arguments

Author

Examples