selectExchange

Filter raw trade data to only contain specified exchanges

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

selectExchange function

<dl><dt>data</dt>
<dd>an <code>xts</code> or <code>data.table</code> object containing the time series data. 
The object should have a column "EX", indicating the exchange by its symbol.</dd>
<dt>exch</dt>
<dd>The (vector of) symbol(s) of the stock exchange(s) that should be selected.
By default the NYSE is chosen (<code>exch = "N"</code>). Other exchange symbols are:<ul>
<li>A: AMEX</li>
<li>N: NYSE</li>
<li>B: Boston</li>
<li>P: Arca</li>
<li>C: NSX</li>
<li>T/Q: NASDAQ</li>
<li>D: NASD ADF and TRF</li>
<li>X: Philadelphia</li>
<li>I: ISE</li>
<li>M: Chicago</li>
<li>W: CBOE</li>
<li>Z: BATS</li>
</ul></dd></dl>

Arguments

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

Author

Retain only data from a single stock exchange — selectExchange

<dl>

<dt>data</dt>
<dd>an <code>xts</code> or <code>data.table</code> object containing the time series data. 
The object should have a column "EX", indicating the exchange by its symbol.</dd>


<dt>exch</dt>
<dd>The (vector of) symbol(s) of the stock exchange(s) that should be selected.
By default the NYSE is chosen (<code>exch = "N"</code>). Other exchange symbols are:<ul>
<li>A: AMEX</li>
<li>N: NYSE</li>
<li>B: Boston</li>
<li>P: Arca</li>
<li>C: NSX</li>
<li>T/Q: NASDAQ</li>
<li>D: NASD ADF and TRF</li>
<li>X: Philadelphia</li>
<li>I: ISE</li>
<li>M: Chicago</li>
<li>W: CBOE</li>
<li>Z: BATS</li>
</ul></dd>

</dl>

selectExchange: Retain only data from a single stock exchange

Description

Usage

Value

Arguments

Author