rmTradeOutliers

an xts object containing the time series data, with 
at least the column "PRICE", containing the transaction price.

tdata

an xts object containing the time series data,
with at least the columns "BID" and "OFR", containing the bid and 
ask prices.

qdata

Function deletes entries with prices that are above the ask plus the bid-ask spread.
Similar for entries with prices below the bid minus the bid-ask spread.

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

rmTradeOutliers function

Note: in order to work correctly, the input data of this function should be
cleaned trade (tdata) and quote (qdata) data respectively.

rmTradeOutliers: Delete transactions with unlikely transaction prices

Description

Usage

Arguments

Value

Details