highfrequency (version 0.7.0.1)

sampleQData: Sample of cleaned quotes for stock XXX for 1 day

Description

An xts object containing the raw quotes for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format. This is the cleaned version of the data sample sampleQDataRaw, using quotesCleanup.

Usage

sampleQData

Format

xts object

Examples

# NOT RUN {
#The code to create sampleQData from raw data is 
sampleQData <- quotesCleanup(
qDataRaw = sampleQDataRaw, exchanges = "N", type = "standard", 
report = FALSE)[, c("SYMBOL", "BID", "BIDSIZ", "OFR", "OFRSIZ", "MODE")]
# These are the historically included columns.
# }
# NOT RUN {
# }