rmLargeSpread {highfrequency}

Delete entries for which the spread is more than maxi times the median spread

Description

Function deletes entries for which the spread is more than "maxi" times the median spread on that day.

Usage

rmLargeSpread(qData, maxi = 50, tz = NULL)

Arguments

qData

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

maxi

an integer. By default maxi = "50", which means that entries are deleted if the spread is more than 50 times the median spread on that day.

tz

fallback time zone used in case we we are unable to identify the timezone of the data, by default: tz = NULL. With the non-disk functionality, we attempt to extract the timezone from the DT column (or index) of the data, which may fail. In case of failure we use tz if specified, and if it is not specified, we use "UTC". In the on-disk functionality, if tz is not specified, the timezone used will be the system default.

Value

xts or data.table object depending on input.

Author(s)

Jonathan Cornelissen, Kris Boudt, Onno Kleen, and Emil Sjoerup.