Merge quote entries that have the same time stamp to a single one and returns an xts or a data.table object
with unique time stamps only.
mergeQuotesSameTimestamp(qData, selection = "median")an xts object or data.table containing the time series data, with
at least two columns named BID and OFR indicating the bid and ask price
as well as two columns BIDSIZ, OFRSIZ indicating the number of round lots available at these
prices. For data.table an additional column DT is necessary that stores the date/time information.
indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default, selection = "median", and the median price is taken. Alternatively:
selection = "max.volume": use the (bid/ask) price of the entry with
largest (bid/ask) volume.
selection = "weighted.average": take the weighted average of all bid (ask) prices,
weighted by "BIDSIZ" ("OFRSIZ").
Depending on the input data type, we return either a data.table or an xts object containing the quote data which has been cleaned.