sample_tdata

An xts object containing the trades for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format.
This is the cleaned version of the data sample <code><a href="/link/sample_tdataraw?package=highfrequency&version=0.2" rd-options="" data-mini-rdoc="highfrequency::sample_tdataraw">sample_tdataraw</a></code>, using <code><a href="/link/tradesCleanup?package=highfrequency&version=0.2" rd-options="" data-mini-rdoc="highfrequency::tradesCleanup">tradesCleanup</a></code>.

datasets

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.

sample_tdata: Sample of cleaned trades for stock XXX for 1 day

Description

Usage

Arguments

format