rmLargeSpread

an xts object at least containing the columns "BID" and "OFR".

qdata

an integer. By default maxi="50", 
which means that entries are deleted if the spread is more than 50 times the median spread on that day.

maxi

Function deletes entries for which the spread is more than "maxi" times the median
spread on that day.

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.

Jonathan Cornelissen

highfrequency

rmLargeSpread function

NOTE: This function works only correct if supplied input data consists of 1 day!

rmLargeSpread: Delete entries for which the spread is more than "maxi" times the median spread

Description

Usage

Arguments

Value

Details