autoSelectExchangeTrades {highfrequency}

Retain only data from the stock exchange with the highest trading volume

Description

Filters raw trade data and return only data that stems from the exchange with the highest value for the variable "SIZE", i.e. the highest trade volume.

Usage

autoSelectExchangeTrades(tData, printExchange = TRUE)

Arguments

tData

an xts object with at least a column "EX" indicating the exchange symbol and "SIZE" indicating the trade volume.

printExchange

indicates whether the chosen exchange is printed on the console, default is TRUE. The possible exchanges are:

• A: AMEX

• N: NYSE

• B: Boston

• P: Arca

• C: NSX

• T/Q: NASDAQ

• D: NASD ADF and TRF

• X: Philadelphia

• I: ISE

• M: Chicago

• W: CBOE

• Z: BATS

Value

data.table or xts object depending on input.

Author(s)

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

Examples

autoSelectExchangeTrades(sampleTDataRaw)