mergeQuotesSameTimestamp

an xts object containing the time series data, with 
at least two columns named "BID" and "OFR" indicating the bid and ask price 
and two columns "BIDSIZ", "OFRSIZ" indicating the number of round lots available at these 
prices.

qdata

indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default, selection="median", and the median price is taken. Alternatively:
<ul><li>selection = "maxvolume": u</li></ul>

selection

Function replaces multiple quote entries that have the same time stamp 
by a single one and returns an xts object with unique time stamps only.

cleaning

The highfrequency package contains an extensive toolkit
        for the use of highfrequency financial data in R. It contains
        functionality to manage, clean and match highfrequency trades
        and quotes data. Furthermore, it enables users to: calculate
        easily various liquidity measures, estimate and forecast
        volatility, and investigate microstructure noise and intraday
        periodicity.

mergeQuotesSameTimestamp: Merge multiple quote entries with the same time stamp

Description

Usage

Arguments

Value