tradesCondition

Delete entries with abnormal trades condition

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

tradesCondition function

<dl><dt>tData</dt>
<dd>an <code>xts</code> or <code>data.table</code> object containing the time series data, with 
one column named <code>"COND"</code> indicating the Sale Condition.</dd>
<dt>validConds</dt>
<dd>a character vector containing valid sales conditions defaults to 
<code>c('', '@', 'E', '@E', 'F', 'FI', '@F', '@FI', 'I', '@I')</code>. See details.</dd></dl>

Arguments

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

Author

Delete entries with abnormal trades condition. — tradesCondition

<dl>

<dt>tData</dt>
<dd>an <code>xts</code> or <code>data.table</code> object containing the time series data, with 
one column named <code>"COND"</code> indicating the Sale Condition.</dd>


<dt>validConds</dt>
<dd>a character vector containing valid sales conditions defaults to 
<code>c('', '@', 'E', '@E', 'F', 'FI', '@F', '@FI', 'I', '@I')</code>. See details.</dd>

</dl>

tradesCondition: Delete entries with abnormal trades condition.

Description

Usage

Value

Arguments

Author

Details