hfdata {PINstimation}

High-frequency trade-data

Description

A simulated dataset containing sample timestamp, price, volume, bid and ask for ⁠100 000⁠ high frequency transactions.

Usage

hfdata

Format

A data frame with ⁠100 000⁠ observations with 5 variables:

• timestamp: time of the trade.

• price: transaction price.

• volume: volume of the transactions, in asset units.

• bid: best bid price.

• ask: best ask price.

Source

Artificially created data set.