highfrequency (version 0.8.0)

sampleTData: Sample of cleaned trades for stock XXX for 2 days

Description

A data.table object containing the trades for the imaginary stock XXX for 2 days, in the typical NYSE TAQ database format. This is the cleaned version of the data sample sampleTDataRaw, using tradesCleanup.

Usage

sampleTData

Format

A data.table object.

Examples

# NOT RUN {
# The code to create the sampleTData dataset from raw data is
sampleQData <- quotesCleanup(qDataRaw = sampleQDataRaw,
                                         exchanges = "N", type = "standard", report = FALSE)

tradesAfterFirstCleaning <- tradesCleanup(tDataRaw = sampleTDataRaw, 
                                          exchanges = "N", report = FALSE)

sampleTData <- tradesCleanupUsingQuotes(
  tData = tradesAfterFirstCleaning,
  qData = sampleQData,
  lagQuotes = 0)[, c("DT", "SYMBOL", "PRICE", "SIZE")]
# Only some columns are included. These are the ones that were historically included.
# }
# NOT RUN {
# }