getTradeDirection {highfrequency}

Get trade direction

Description

Function returns a vector with the inferred trade direction which is determined using the Lee and Ready algorithm (Lee and Ready, 1991).

Usage

getTradeDirection(tqData)

Arguments

tqData

data.table or xts object, containing joined trades and quotes (e.g. using matchTradesQuotes)

Details

NOTE: By convention the first observation is always marked as a buy.

Value

A vector which has values 1 or (-1) if the inferred trade direction is buy or sell respectively.

Author(s)

Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup. Special thanks to Dirk Eddelbuettel.

References

Lee, C. M. C. and Ready, M. J. (1991). Inferring trade direction from intraday data. Journal of Finance, 46, 733-746.

Examples

# Generate matched trades and quote data set
tqData <- matchTradesQuotes(sampleTData[as.Date(DT) == "2018-01-02"], 
                            sampleQData[as.Date(DT) == "2018-01-02"])
directions <- getTradeDirection(tqData)
head(directions)