Aggregate tick-by-tick quote data and return a <code>data.table</code> or <code>xts</code> object containing the aggregated quote data.
See <code>sampleQData</code> for an example of the argument qData. This function accepts arbitrary number of symbols over an arbitrary number of days.

aggregateQuotes

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. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

aggregateQuotes function

Aggregate a data.table or xts object containing quote data — aggregateQuotes

<dl>

<dt>qData</dt>
<dd><code>data.table</code> or <code>xts</code> object to be aggregated, containing the intraday quote data of a stock for one day.</dd>


<dt>alignBy</dt>
<dd>character, indicating the time scale in which <code>alignPeriod</code> is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours", and "ticks".
To aggregate based on a 5 minute frequency, set <code>alignPeriod</code> to 5 and <code>alignBy</code> to <code>"minutes"</code>.</dd>


<dt>alignPeriod</dt>
<dd>positive numeric, indicating the number of periods to aggregate over. E.g. to aggregate
based on a 5 minute frequency, set <code>alignPeriod</code> to 5 and <code>alignBy</code> to <code>"minutes"</code>.</dd>


<dt>marketOpen</dt>
<dd>the market opening time, by default: <code>marketOpen = "09:30:00"</code>.</dd>


<dt>marketClose</dt>
<dd>the market closing time, by default: <code>marketClose = "16:00:00"</code>.</dd>


<dt>tz</dt>
<dd>fallback time zone used in case we we are unable to identify the timezone of the data, by default: <code>tz = NULL</code>. We attempt to extract the timezone from the DT column (or index) of the data, which may fail. 
In case of failure we use <code>tz</code> if specified, and if it is not specified, we use <code>"UTC"</code></dd>

</dl>

Arguments

Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.

aggregateQuotes: Aggregate a `data.table` or `xts` object containing quote data

Description

Usage

Arguments

Value

Details

Examples