timeSeries (version 4032.109)

spreads: Spreads and mid quotes

Description

Compute spreads and midquotes from price streams.

Usage

spreads(x, which = c("Bid", "Ask"), tickSize = NULL)    
midquotes(x, which = c("Bid", "Ask"))

Value

all functions return an object of class timeSeries

Arguments

x

an object of class timeSeries.

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 the bid and ask prices with column names c("Bid", "Ask").

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.

See Also

returns, cumulated, drawdowns, splits, midquotes, index2wealth

Examples

## 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