exchangeHoursOnly {highfrequency} | R Documentation |
Extract data from an xts
object for the exchange hours only
Description
Filter raw trade data such and return only data between market close and market open.
By default, marketOpen = "09:30:00"
and marketClose = "16:00:00"
(see Brownlees and Gallo (2006) for more information on good choices for these arguments).
Usage
exchangeHoursOnly(
data,
marketOpen = "09:30:00",
marketClose = "16:00:00",
tz = NULL
)
Arguments
data |
a |
marketOpen |
character in the format of |
marketClose |
character in the format of |
tz |
fallback time zone used in case we we are unable to identify the timezone of the data, by default: |
Value
xts
or data.table
object depending on input.
Author(s)
Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.
References
Brownlees, C. T. and Gallo, G. M. (2006). Financial econometric analysis at ultra-high frequency: Data handling concerns. Computational Statistics & Data Analysis, 51, pages 2232-2245.
Examples
exchangeHoursOnly(sampleTDataRaw)