tradesCondition {highfrequency}

Delete entries with abnormal trades condition.

Description

Delete entries with abnormal trades condition

Usage

tradesCondition(
  tData,
  validConds = c("", "@", "E", "@E", "F", "FI", "@F", "@FI", "I", "@I")
)

Arguments

tData

an xts or data.table object containing the time series data, with one column named "COND" indicating the Sale Condition.

validConds

a character vector containing valid sales conditions defaults to
c('', '@', 'E', '@E', 'F', 'FI', '@F', '@FI', 'I', '@I'). See details.

Details

To get more information on the sales conditions, see the NYSE documentation. Section about Daily TAQ Trades File. The current version (as of May 2020) can be found online at NYSE's webpage

Value

xts or data.table object depending on input.

Note

Some CSV readers and the WRDS API parses empty strings as NAs. We transform NA values in COND to "".

Author(s)

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