noZeroQuotes

an xts object at least containing the columns "BID" and "OFR".

qdata

Function deletes the observations where the bid or ask is zero.

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.

noZeroQuotes: Delete the observations where the bid or ask is zero

Description

Usage

Arguments

Value