hasQty

which

<p>A set of functions to check for appropriate TBBO/BBO and price column
names within a data object, as well as the availability and
position of those columns.</p>

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity.

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

hasQty function

Check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data — hasQty

Check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data

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hasQty: Check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data

Description

Usage

Arguments