mergeTradesSameTimestamp {highfrequency} | R Documentation |
Merge multiple transactions with the same time stamp
Description
Merge trade 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
mergeTradesSameTimestamp(tData, selection = "median")
Arguments
tData |
an |
selection |
indicates how the price for a certain time stamp
should be calculated in case of multiple observation for a certain time
stamp. By default,
|
Value
data.table
or xts
object depending on input.
Note
previously this function returned the mean of the size of the merged trades (pre version 0.7 and when not using max.volume as the criterion), now it returns the sum.
Author(s)
Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.