selectExchange {highfrequency}

Retain only data from a single stock exchange

Description

Filter raw trade data to only contain specified exchanges

Usage

selectExchange(data, exch = "N")

Arguments

data

an xts or data.table object containing the time series data. The object should have a column "EX", indicating the exchange by its symbol.

exch

The (vector of) symbol(s) of the stock exchange(s) that should be selected. By default the NYSE is chosen (exch = "N"). Other exchange symbols are:

• A: AMEX

• N: NYSE

• B: Boston

• P: Arca

• C: NSX

• T/Q: NASDAQ

• D: NASD ADF and TRF

• X: Philadelphia

• I: ISE

• M: Chicago

• W: CBOE

• Z: BATS

Value

xts or data.table object depending on input.

Author(s)

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