salesCondition

an xts object containing the time series data, with 
one column named "COND" indicating the Sale Condition.

tdata

Function deletes entries with abnormal Sale Condition: 
trades where column "COND" has
a letter code, except for "E" and "F".

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.

salesCondition: Delete entries with abnormal Sale Condition.

Description

Usage

Arguments

Value