mergeQuotesSameTimestamp {highfrequency} | R Documentation |
Merge multiple quote entries with the same time stamp
Description
Merge quote entries that have the same time stamp to a single one and returns an xts
or a data.table
object
with unique time stamps only.
Usage
mergeQuotesSameTimestamp(qData, selection = "median")
Arguments
qData |
an |
selection |
indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default,
|
Value
Depending on the input data type, we return either a data.table
or an xts
object containing the quote data which has been cleaned.
Author(s)
Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.