noZeroQuotes {highfrequency}

Delete the observations where the bid or ask is zero

Description

Function deletes the observations where the bid or ask is zero.

Usage

noZeroQuotes(qData)

Arguments

qData

an xts or data.table object at least containing the columns BID and OFR.

Value

xts object or data.table depending on type of input.

Author(s)

Jonathan Cornelissen and Kris Boudt.