mergeTradesSameTimestamp

an xts object containing the time series data, with 
one column named "PRICE" indicating the transaction price 
and one column "SIZE" indicating the number of shares traded.

tdata

indicates how the 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": use the price</li></ul>

selection

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

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.

mergeTradesSameTimestamp: Merge multiple transactions with the same time stamp

Description

Usage

Arguments

Value