exchangeHoursOnly

an xts object containing the time series data.

data

character in the format of "HH:MM:SS",
specifying the starting hour, minute and second of an exhange
trading day.

daybegin

character in the format of "HH:MM:SS",
specifying the closing hour, minute and second of an exhange
trading day.

dayend

The function returns data within exchange trading hours
"daybegin" and "dayend". By default, daybegin and dayend
are set to "09:30:00" and "16:00:00" respectively (see Brownlees and Gallo (2006) for more information on good choices for these arguments).

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.

exchangeHoursOnly: Extract data from an xts object for the Exchange Hours Only

Description

Usage

Arguments

Value

References