spreads
From timeSeries v3022.101.2
by Tobias Setz
Spreads and Mid Quotes
Compute spreads and midquotes from price streams.
 Keywords
 chron
Usage
spreads(x, which = c("Bid", "Ask"), tickSize = NULL)
midquotes(x, which = c("Bid", "Ask"))
midquoteSeries(...)
spreadSeries(...)
Arguments
 tickSize

the default is NULL to simply compute price changes in original
price levels. If ticksize is supplied, the price changes will be
divided by the value of
inTicksOfSize
to compute price changes in ticks.  which

a vector with two character strings naming the column names of
the time series from which to compute the mid quotes and spreads.
By default these are bid and ask prices with column names
c("Bid", "Ask")
.  x

an object of class
timeSeries
.  ...
 arguments to be passed.
Value
 all functions return an object of class
timeSeries
.Note
The functions returnSeries
, getReturns
,
midquoteSeries
, spreadSeries
are synonymes
for returns
, midquotes
, and spreads
.
Examples
library(timeSeries)
## Load the Microsoft Data 
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
X = MSFT[1:10, ]
head(X)
## Compute Open/Close Midquotes 
X.MID < midquotes(X, which = c("Close", "Open"))
colnames(X.MID) < "X.MID"
X.MID
## Compute Open/Close Spreads 
X.SPREAD < spreads(X, which = c("Close", "Open"))
colnames(X.SPREAD) < "X.SPREAD"
X.SPREAD
Community examples
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