sampleTDataRaw

<p>An imaginary <code>data.table</code> object containing the raw trades the pseudonymized stock XXX for 2 days, in the typical NYSE TAQ database format.</p>

datasets

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

sampleTDataRaw function

Format

Sample of raw trades for stock XXX for 2 days — sampleTDataRaw

Sample of raw trades for stock XXX for 2 days

sampleTDataRaw: Sample of raw trades for stock XXX for 2 days

Description

Usage

Arguments

Format