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highfrequency (version 0.5)

rmTradeOutliers:

Description

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.

Usage

rmTradeOutliers(tdata,qdata)

Arguments

tdata
an xts object containing the time series data, with at least the column "PRICE", containing the transaction price.
qdata
an xts object containing the time series data, with at least the columns "BID" and "OFR", containing the bid and ask prices.

Value

xts object

Details

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