getTradeDirection

xts object, containing joined trades and quotes (e.g. using <code><a href="/link/matchTradesQuotes?package=highfrequency&version=0.2" rd-options="" data-mini-rdoc="highfrequency::matchTradesQuotes">matchTradesQuotes</a></code>)

tqdata

Function returns a vector with the inferred trade direction which is 
determined using the Lee and Ready algorithym (Lee and Ready, 1991).

liquidity

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

getTradeDirection function

NOTE: The value of the first (and second) observation of the output should be ignored if price==midpoint
for the first (second) observation.

getTradeDirection: Get trade direction

Description

Usage

Arguments

Value

Details

References