spreads {timeSeries} | R Documentation |
Spreads and mid quotes
Description
Compute spreads and midquotes from price streams.
Usage
spreads(x, which = c("Bid", "Ask"), tickSize = NULL)
midquotes(x, which = c("Bid", "Ask"))
midquoteSeries(...)
spreadSeries(...)
Arguments
tickSize |
the default is NULL to simply compute price changes in original
price levels. If ticksize is supplied, the price changes will be
divided by the value of |
which |
a vector with two character strings naming the column names of
the time series from which to compute the mid quotes and spreads.
By default these are bid and ask prices with column names
|
x |
an object of class |
... |
arguments to be passed. |
Value
all functions return an object of class timeSeries
.
Note
The functions
midquoteSeries
and spreadSeries
are synonyms
for midquotes
and spreads
, respectively
Examples
## Load the Microsoft Data -
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
X = MSFT[1:10, ]
head(X)
## Compute Open/Close Midquotes -
X.MID <- midquotes(X, which = c("Close", "Open"))
colnames(X.MID) <- "X.MID"
X.MID
## Compute Open/Close Spreads -
X.SPREAD <- spreads(X, which = c("Close", "Open"))
colnames(X.SPREAD) <- "X.SPREAD"
X.SPREAD
[Package timeSeries version 4030.106 Index]