autoSelectExchangeQuotes

an xts object with at least a column "EX", indicating the exchange symbol 
and columns "BIDSIZ" and "OFRSIZ", indicating 
the volume available at the bid and ask respectively.
The chosen exchange is printed on the console.
The possible exchanges are:

qdata

Function returns an xts object containing only observations 
of the exchange with highest
value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.

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.

autoSelectExchangeQuotes: Retain only data from the stock exchange with the highest volume

Description

Usage

Arguments

Value