[Blotter-commits] r464 - pkg/RTAQ/man

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2010-11-22 19:32:12 +0100 (Mon, 22 Nov 2010)
New Revision: 464

Removed:
   pkg/RTAQ/man/RBPVar.Rd
   pkg/RTAQ/man/RCor.Rd
   pkg/RTAQ/man/ROWVar.Rd
   pkg/RTAQ/man/RV.Rd
   pkg/RTAQ/man/agg_price.Rd
   pkg/RTAQ/man/agg_quotes.Rd
   pkg/RTAQ/man/agg_trades.Rd
   pkg/RTAQ/man/autoselectexchange.Rd
   pkg/RTAQ/man/autoselectexchangeq.Rd
   pkg/RTAQ/man/di_diff.Rd
   pkg/RTAQ/man/di_div.Rd
   pkg/RTAQ/man/es.Rd
   pkg/RTAQ/man/gettradedir.Rd
   pkg/RTAQ/man/liquidity.Rd
   pkg/RTAQ/man/logqs.Rd
   pkg/RTAQ/man/logqslope.Rd
   pkg/RTAQ/man/logsize.Rd
   pkg/RTAQ/man/matchtq.Rd
   pkg/RTAQ/man/mergesametimestamp.Rd
   pkg/RTAQ/man/mq_return_abs.Rd
   pkg/RTAQ/man/mq_return_sqr.Rd
   pkg/RTAQ/man/p_return.Rd
   pkg/RTAQ/man/p_return_abs.Rd
   pkg/RTAQ/man/p_return_sqr.Rd
   pkg/RTAQ/man/pes.Rd
   pkg/RTAQ/man/pqs.Rd
   pkg/RTAQ/man/price_impact.Rd
   pkg/RTAQ/man/prop_price_impact.Rd
   pkg/RTAQ/man/prs.Rd
   pkg/RTAQ/man/pts.Rd
   pkg/RTAQ/man/qs.Rd
   pkg/RTAQ/man/qslope.Rd
   pkg/RTAQ/man/rmnegspread.Rd
   pkg/RTAQ/man/rs.Rd
   pkg/RTAQ/man/salescond.Rd
   pkg/RTAQ/man/signed_trade_size.Rd
   pkg/RTAQ/man/signed_value_trade.Rd
   pkg/RTAQ/man/tradescleanup_finalop.Rd
   pkg/RTAQ/man/tspread.Rd
   pkg/RTAQ/man/value_trade.Rd
Log:
removing helpfiles for separate liquidity functions and changed function names..

Deleted: pkg/RTAQ/man/RBPVar.Rd
===================================================================
--- pkg/RTAQ/man/RBPVar.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/RBPVar.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,41 +0,0 @@
-\name{RBPVar}
-\Rdversion{1.1}
-\alias{RBPVar}
-\title{
-Realized BiPower Variance
-}
-\description{
-Function returns the Realized BiPower Variance (RBPVar), defined in Barndorff-Nielsen and Shephard (2004).
-
-Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
-
-Then, the RBPVar is given by
-\deqn{
-\mbox{RBPVar}_{t}= \frac{\pi}{2} \sum_{i=2}^{M} |r_{t,i}| |r_{t,i-1}|
-}
-
-}
-
-\usage{
-RBPVar(data)
-}
-
-\arguments{
-  \item{data}{ a vector/zoo/xts object containing all returns in period t for one asset. }
-}
-
-\section{Details}{
-}
-
-\value{
-numeric
-}
-
-\references{
-Barndorff-Nielsen, O. and N. Shephard (2004). Power and bipower variation with 
-stochastic volatility and jumps. Journal of Financial Econometrics 2 (1), 1-37.}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/RCor.Rd
===================================================================
--- pkg/RTAQ/man/RCor.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/RCor.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,42 +0,0 @@
-\name{RCor}
-\Rdversion{1.1}
-\alias{RCor}
-\title{
-Realized Correlation}
-
-\description{
-Function returns the realized correlation matrix.
-
-Let \eqn{r_{t,i}} be an intraday \eqn{N x 1} return vector and \eqn{i=1,...,M}
-the number of intraday returns.
-
-Then, the \eqn{(k,q)}-th element of the 
-Realized correlation matrix over period \eqn{t} is defined as
-\deqn{
-\mbox{RCor}[k,q]_t = \frac{\sum_{i=1}^{n}r_{(k)t,i}*r_{(q)t,i}}{\sqrt{\sum_{i=1}^{n}r^2_{(k)t,i}\sum_{i=1}^{n}r^2_{(q)t,i}}}
-}
-where \eqn{r_{(k)t,i}} is the \eqn{k}-th component of the return vector \eqn{r_{t,i}} 
-and \eqn{n} the number of observations per day.
-}
-
-\usage{
-RCor(data)
-}
-
-\arguments{
-  \item{data}{ a \eqn{(M x N)} matrix/zoo/xts object containing the \eqn{N}
-return series over period \eqn{t}, with \eqn{M} observations during \eqn{t}.}
-}
-
-\section{Details}{}
-
-\value{
-an \eqn{N x N} matrix
-}
-
-\references{}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/ROWVar.Rd
===================================================================
--- pkg/RTAQ/man/ROWVar.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/ROWVar.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,58 +0,0 @@
-\name{ROWVar}
-\Rdversion{1.1}
-\alias{ROWVar}
-\title{
-Realized Outlyingness Weighted Variance
-}
-\description{
-Function returns the Realized Outlyingness Weighted Variance (ROWVar), defined in Boudt et al. (2008).
-
-Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t} and \eqn{d_{t,i}} 
-a measure for the local outlyingness
-of that return, as defined in Boudt et al. (2008). The ROWVar is then given by
-
-\deqn{
-\mbox{ROWVar}_{t}=c_{w}\frac{\sum_{i=1}^{M}w(d_{t,i})r_{t,i}^{2}}{\frac{1}{M}\sum_{i=1}^{M}w(d_{t,i})}.
-}
-
-}
-
-\usage{
-ROWVar(data, seasadjR = NULL, wfunction = "HR" , alphaMCD = 0.5, alpha = 0.001)
-}
-
-\arguments{
-  \item{data}{ a vector/zoo/xts object containing all returns in period t for one asset. }
-  \item{seasadjR}{ seasadjR is a matrix/zoo/xts object containing the seasonaly adjusted
-returns in period t for one asset. This is an optional argument.}
-  \item{wfunction}{ determines whether 
-a zero-one weight function (one if no jump is detected based on \eqn{d_{t,i}} and 0 otherwise)
-or 
-Soft Rejection ("SR") weight function is to be used. 
-By default a zero-one weight function (wfunction = "HR") is used.}
-  \item{alphaMCD}{
-a numeric parameter, controlling the size of the subsets over
-which the determinant is minimized. Allowed values are between 0.5 and
-1 and the default is 0.75. See Boudt et al. (2008) or the \code{covMcd} function in the
-robustbase package.
-}
-  \item{alpha}{a parameter between 0 en 0.5, that determines the rejection
-threshold value (see Boudt et al. (2008) for details).}
-}
-
-\section{Details}{
-}
-
-\value{
-numeric
-}
-
-\references{
-Boudt, K., C. Croux, and S. Laurent (2008). Outlyingness weighted quadratic
-covariation. Mimeo.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/RV.Rd
===================================================================
--- pkg/RTAQ/man/RV.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/RV.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,37 +0,0 @@
-\name{RV}
-\Rdversion{1.1}
-\alias{RV}
-\title{
-Realized Variance
-}
-\description{
-Function returns the Realized Variance (RV).
-
-Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
-Then the Realized Variance is given by
-the sum of the squared intraday returns
-\deqn{\mbox{RV}_{t}= \sum_{i=1}^{M}r_{t,i}^{2}}
-}
-
-\usage{
-RV(data);
-}
-
-\arguments{
-  \item{data}{ a vector/zoo/xts object containing all returns in period t for one asset. }
-}
-
-\section{Details}{
-}
-
-\value{
-numeric
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/agg_price.Rd
===================================================================
--- pkg/RTAQ/man/agg_price.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/agg_price.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,50 +0,0 @@
-\name{agg_price}
-\Rdversion{1.1}
-\alias{agg_price}
-\title{
-Aggregate a time series but keep first and last observation}
-
-\description{
-Function returns new time series as xts object where first observation is always the opening price
-and subsequent observations are the closing prices over the interval with as endpoint the timestamp 
-of the result.
-}
-
-\usage{
-agg_price = function(ts,FUN = previoustick,on="minutes",k=5)
-}
-
-\arguments{
-\item{ts}{ xts object, containing the original time series.}
-\item{FUN}{ function to apply over each interval. By default, previous tick aggregation is done.}
-\item{on}{ character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".}
-\item{k}{ positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a 
-xts object to the 5 minute frequency set k=5 and on="minutes".}
-}
-
-\section{Details}{
-The timestamps of the new time series are the closing times and/or days of the intervals. 
-
-In case of previous tick aggregation, 
-for on="seconds"/"minutes"/"hours",
- the element of the returned series with e.g. timestamp 09:35:00 contains 
-the last observation up to that point, excluding the value at 09:35:00 itself. An exception 
-is 16:00:00, where the observation at 16:00:00 is included in the interval, since this is the
-end of a trading day at the NYSE.
-
-Please Note:
-
-In case an interval is empty, it is omitted. (Possibly, you expect an NA but this isn't the case)
-
-It is assumed that a trading day starts at 09:30:00 and ends at 16:00:00.
-
-It is recommended to use a time series containing one day as input.
-}
-
-\value{
-An xts object containing the aggregated time series.
-}
-
-\references{}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/agg_quotes.Rd
===================================================================
--- pkg/RTAQ/man/agg_quotes.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/agg_quotes.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,45 +0,0 @@
-\name{agg_quotes}
-\Rdversion{1.1}
-\alias{agg_quotes}
-\title{
-Aggregate an xts object containing quote data}
-
-
-\description{
-Function returns an xts object containing the aggregated quote data with columns "SYMBOL", "EX", "BID","BIDSIZ","OFR","OFRSIZ". 
-Please see pdf documentation for the requirements regarding "quote data objects".
-}
-
-\usage{
-agg_quotes(qdata,on="minutes",k=5)
-}
-
-\arguments{
-\item{qdata}{ xts object, containing the quote data. See pdf documentation for more details.}
-\item{on}{ character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".}
-\item{k}{ positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a 
-xts object to the 5 minute frequency, set k=5 and on="minutes".}
-}
-
-\section{Details}{
-The timestamps of the new time series are the closing times of the intervals. 
-
-Please Note:
-
-In case an interval is empty, it is omitted. (Possibly, you expect an NA but this isn't the case)
-
-Column "MODE" is dropped because aggregating makes no sense.
-
-It is assumed that a trading day starts at 09:30:00 and ends at 16:00:00. Returned object will always contain the 
-first observation (opening price,..).
-
-It is recommended to use an object containing one day of data as input.
-}
-
-\value{
-An xts object containing the aggregated quote data.
-}
-
-\references{}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/agg_trades.Rd
===================================================================
--- pkg/RTAQ/man/agg_trades.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/agg_trades.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,45 +0,0 @@
-\name{agg_trades}
-\Rdversion{1.1}
-\alias{agg_trades}
-\title{
-Aggregate an xts object containing trade data}
-
-
-\description{
-Function returns an xts object containing the aggregated trade data with columns "SYMBOL", "EX", "PRICE", "SIZE". 
-Please see pdf documentation for the requirements regarding "trade data objects".
-}
-
-\usage{
-agg_trades(tdata,on="minutes",k=5)
-}
-
-\arguments{
-\item{tdata}{ xts object, containing the trade data. See pdf documentation for more details.}
-\item{on}{ character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".}
-\item{k}{ positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a 
-xts object to the 5 minute frequency set k=5 and on="minutes".}
-}
-
-\section{Details}{
-The timestamps of the new time series are the closing times of the intervals. 
-
-Please Note:
-
-In case an interval is empty, it is omitted. (Possibly, you expect an NA but this isn't the case)
-
-Columns "COND", "CORR", "G127" are dropped because aggregating them makes no sense.
-
-It is assumed that a trading day starts at 09:30:00 and ends at 16:00:00. Returned object will always contain the 
-first observation (opening price,..).
-
-It is recommended to use an object containing one day of data as input.
-}
-
-\value{
-An xts object containing the aggregated trade data.
-}
-
-\references{}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/autoselectexchange.Rd
===================================================================
--- pkg/RTAQ/man/autoselectexchange.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/autoselectexchange.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,48 +0,0 @@
-\name{autoselectexchange}
-\Rdversion{1.1}
-\alias{autoselectexchange}
-\title{
-Retain only data from the stock exchange with the highest trading volume
-}
-\description{
-Function returns an xts object containing only observations of the 
-exchange with the highest value for the variable "SIZE", 
-i.e. the highest trade volume.
-}
-
-\usage{
-autoselectexchange(tdata)
-}
-
-\arguments{
-  \item{tdata}{ 
-an xts object with at least a column "EX", 
-indicating the exchange symbol and "SIZE", 
-indicating the trade volume. The chosen exchange is printed on the console.
-The possible exchanges are:
-\itemize{
-\item A: AMEX
-\item N: NYSE
-\item B: Boston
-\item P: Arca
-\item C: NSX
-\item T/Q: NASDAQ
-\item D: NASD ADF and TRF
-\item X: Philadelphia
-\item I: ISE
-\item M: Chicago
-\item W: CBOE
-\item Z: BATS
-}
-}
-}
-\section{Details}{}
-
-\value{
-xts object
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/autoselectexchangeq.Rd
===================================================================
--- pkg/RTAQ/man/autoselectexchangeq.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/autoselectexchangeq.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{autoselectexchangeq}
-\Rdversion{1.1}
-\alias{autoselectexchangeq}
-\title{
-Retain only data from the stock exchange with the highest volume
-}
-\description{
-Function returns an xts object containing only observations 
-of the exchange with highest
-value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.
-}
-
-\usage{
-autoselectexchangeq(qdata)
-}
-
-\arguments{
-  \item{qdata}{ 
-an xts object with at least a column "EX", indicating the exchange symbol 
-and columns "BIDSIZ" and "OFRSIZ", indicating 
-the volume available at the bid and ask respectively.
-The chosen exchange is printed on the console.
-The possible exchanges are:
-\itemize{
-\item A: AMEX
-\item N: NYSE
-\item B: Boston
-\item P: Arca
-\item C: NSX
-\item T/Q: NASDAQ
-\item D: NASD ADF and TRF
-\item X: Philadelphia
-\item I: ISE
-\item M: Chicago
-\item W: CBOE
-\item Z: BATS
-}
-}
-}
-\section{Details}{}
-
-\value{
-xts object
-}
-\references{
-}
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/di_diff.Rd
===================================================================
--- pkg/RTAQ/man/di_diff.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/di_diff.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{di_diff}
-\Rdversion{1.1}
-\alias{di_diff}
-\title{
-Depth imbalance (as a difference)
-}
-
-\description{
-Function returns an xts object with the depth imbalance (as a difference), defined as
-
-\deqn{
-\mbox{depth imbalace (as difference)}_t =  \frac{D_t *(\mbox{OFRSIZ}_{t}-\mbox{BIDSIZ}_{t})}{(\mbox{OFRSIZ}_{t}+\mbox{BIDSIZ}_{t})},
-}
-where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)). 
-Note that the input of this function consists of the matched trades and quotes,
- so this is were the time indication refers to (and thus not to the registered quote timestamp).
-}
-
-\usage{
-di_diff(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the depth imbalace (as difference).
-}
-
-\references{
-Bessembinder, H. (2003). Issues in assessing trade execution costs. 
-Journal of Financial Markets, 223-257.
-
-Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
-equity markets. Journal of Financial Economics 78 (3), 553-582.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/di_div.Rd
===================================================================
--- pkg/RTAQ/man/di_div.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/di_div.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{di_div}
-\Rdversion{1.1}
-\alias{di_div}
-\title{
-Depth imbalance (as a ratio)
-}
-
-\description{
-Function returns an xts object with the depth imbalance (as a ratio), defined as
-
-\deqn{
-\mbox{depth imbalace (as ratio)}_t =  (\frac{D_t *\mbox{OFRSIZ}_{t}}{\mbox{BIDSIZ}_{t}})^{D_t},
-}
-where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)). 
-Note that the input of this function consists of the matched trades and quotes,
- so this is were the time indication refers to (and thus not to the registered quote timestamp).
-}
-
-\usage{
-di_div(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the depth imbalace (as a ratio).
-}
-
-\references{
-Bessembinder, H. (2003). Issues in assessing trade execution costs. 
-Journal of Financial Markets, 223-257.
-
-Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
-equity markets. Journal of Financial Economics 78 (3), 553-582.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/es.Rd
===================================================================
--- pkg/RTAQ/man/es.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/es.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,48 +0,0 @@
-\name{es}
-\Rdversion{1.1}
-\alias{es}
-\title{
-Effective spread
-}
-
-\description{
-Function returns an xts object with the effective spread, defined as
-
-\deqn{
-\mbox{Effective Spread}_t =  2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
-}
-
-where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)). 
-Note that the input of this function consists of the matched trades and quotes,
- so this is were the time indication refers to (and thus not to the registered quote timestamp).
-}
-
-\usage{
-es(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the effective spread.
-}
-
-\references{
-Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of
-Financial Markets, 223-257.
-
-Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
-equity markets. Journal of Financial Economics 78 (3), 553-582.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/gettradedir.Rd
===================================================================
--- pkg/RTAQ/man/gettradedir.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/gettradedir.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,42 +0,0 @@
-\name{gettradedir}
-\Rdversion{1.1}
-\alias{gettradedir}
-\title{
-Get trade direction
-}
-
-\description{
-Function returns a vector with the inferred trade direction which is 
-determined using the Lee and Ready algorithym (Lee and Ready, 1991). 
-}
-
-\usage{
-gettradedir(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-NOTE: The value of the first (and second) observation of the output should be ignored if price=midpoint
-for the first (second) observation.
-}
-
-\value{
-A vector which has values 1 or (-1) if the inferred trade direction
-is buy or sell respectively.
-}
-
-\references{
-Lee, C. M. C. and M. J. Ready (1991). 
-Inferring trade direction from intraday
-data. Journal of Finance 46, 733-746.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/liquidity.Rd
===================================================================
--- pkg/RTAQ/man/liquidity.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/liquidity.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,43 +0,0 @@
-\name{liquidity}
-\Rdversion{1.1}
-\alias{liquidity}
-\title{
-Calculate numerous (22) liquidity measures
-}
-
-\description{
-Function returns an xts object containing the following liquidity measures:
-
-\code{\link{es}}, \code{\link{rs}}, \code{\link{value_trade}}, \code{\link{signed_value_trade}},  
-       \code{\link{di_diff}}, \code{\link{di_div}}, \code{\link{pes}}, \code{\link{prs}}, \code{\link{price_impact}}, \code{\link{prop_price_impact}},  
-       \code{\link{tspread}}, \code{\link{pts}}, \code{\link{p_return_sqr}}, \code{\link{p_return_abs}}, \code{\link{qs}}, \code{\link{pqs}},  
-       \code{\link{logqs}}, \code{\link{logsize}}, \code{\link{qslope}}, \code{\link{logqslope}}, \code{\link{mq_return_sqr}},  
-       \code{\link{mq_return_abs}}.
-}
-
-\usage{
-liquidity(data,tdata,qdata)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-\item{tdata}{ xts-object containing the trade data. Please see pdf documentation for the recommended format.}
-\item{qdata}{ xts-object containing the quote data. Please see pdf documentation for the recommended format.}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object the above mentioned liquidity measures.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/logqs.Rd
===================================================================
--- pkg/RTAQ/man/logqs.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/logqs.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{logqs}
-\Rdversion{1.1}
-\alias{logqs}
-\title{
-Logarithm of the quoted spread
-}
-
-\description{
-Function returns an xts object with the logarithm of the quoted spread, defined as
-
-\deqn{
-\mbox{log quoted spread}_t =  \log(\frac{\mbox{OFR}_{t}}{\mbox{BID}_{t}})
-}
-
-(Hasbrouck and Seppi, 2001).
-Note that the input of this function consists of the matched trades and
-quotes, so this is where the time indication refers to (and thus not to the
-registered quote timestamp).
-}
-
-\usage{
-pqs(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the logarithm of the quoted spread.
-}
-
-\references{
-Hasbrouck, J. and D. J. Seppi (2001). 
-Common factors in prices, order flows and liquidity. 
-Journal of Financial Economics, 383-411.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/logqslope.Rd
===================================================================
--- pkg/RTAQ/man/logqslope.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/logqslope.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,39 +0,0 @@
-\name{logqslope}
-\Rdversion{1.1}
-\alias{logqslope}
-\title{
-Log quoted slope
-}
-
-\description{
-Function returns an xts object with the log quoted slope, defined as
-
-\deqn{
-\mbox{log quoted slope}_t =  \frac{\mbox{log quoted spread}_t}{\mbox{log quoted size}_t}.
-}
-}
-
-\usage{
-logqslope(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the log quoted slope.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/logsize.Rd
===================================================================
--- pkg/RTAQ/man/logsize.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/logsize.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{logsize}
-\Rdversion{1.1}
-\alias{logsize}
-\title{
-Log quoted size
-}
-
-\description{
-Function returns an xts object with the log quoted size, defined as
-
-\deqn{
-\mbox{log quoted size}_t =  \log(\mbox{OFRSIZ}_{t})-\log(\mbox{BIDSIZ}_{t})
-}
-
-(Hasbrouck and Seppi, 2001).
-Note that the input of this function consists of the matched trades and
-quotes, so this is where the time indication refers to (and thus not to the
-registered quote timestamp).
-}
-
-\usage{
-logsize(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing the log quoted size.
-}
-
-\references{
-Hasbrouck, J. and D. J. Seppi (2001). 
-Common factors in prices, order flows and liquidity. 
-Journal of Financial Economics, 383-411.
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/matchtq.Rd
===================================================================
--- pkg/RTAQ/man/matchtq.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/matchtq.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,31 +0,0 @@
-\name{matchtq}
-\Rdversion{1.1}
-\alias{matchtq}
-\title{
-Match trade and quote data}
-
-\description{
-Function matches the trades and quotes and returns an xts-object containing
-both tdata.}
-
-\usage{
-matchtq(tdata,qdata,adjustment=2)
-}
-
-\arguments{
-\item{tdata}{ xts-object containing the trade data. Please see pdf documentation for the recommended format.}
-\item{qdata}{ xts-object containing the quote data. Please see pdf documentation for the recommended format.}
-\item{adjustment}{ numeric, number of seconds the quotes are registered faster than
-the trades (should be round and positive). Based on the research of
-Vergote (2005), we set 2 seconds as the default.}
-}
-
-\section{Details}{}
-
-\value{xts-object containing the matched trade and quote data}
-
-\references{
-Vergote, O. (2005). How to match trades and quotes for NYSE stocks?
-K.U.Leuven working paper.}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/mergesametimestamp.Rd
===================================================================
--- pkg/RTAQ/man/mergesametimestamp.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/mergesametimestamp.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,38 +0,0 @@
-\name{mergesametimestamp}
-\Rdversion{1.1}
-\alias{mergesametimestamp}
-\title{
-Merge multiple transactions with the same time stamp
-}
-\description{
-Function replaces multiple transactions that have the same time stamp by a single one and returns
-an xts object with unique time stamps only.
-}
-
-\usage{
-mergesametimestamp(tdata,selection="median")
-}
-
-\arguments{
-  \item{tdata}{ an xts object containing the time series data, with 
-one column named "PRICE" indicating the transaction price 
-and one column "SIZE" indicating the number of shares traded. }
-  \item{selection}{indicates how the price for a certain time stamp
-should be calculated in case of multiple observation for a certain time
-stamp. By default, selection="median", and the median price is taken. Alternatively:
-\itemize{
-\item selection = "maxvolume": use the price of the transaction with
-largest volume.
-\item selection = "weightedaverage": take the weighted average of all prices.
-}
-}
-}
-
-\section{Details}{}
-
-\value{
-xts object
-}
-\references{
-}
-\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Deleted: pkg/RTAQ/man/mq_return_abs.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_abs.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/mq_return_abs.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,41 +0,0 @@
-\name{mq_return_abs}
-\Rdversion{1.1}
-\alias{mq_return_abs}
-\title{
-Midquote absolute return
-}
-
-\description{
-Function returns an xts object with the midquote absolute returns, defined as
-
-\deqn{
-\mbox{midquote absolute return}_t =  |\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1})|,
-}
-
-where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}}.
-}
-
-\usage{
-mq_return_abs(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing midquote absolute returns.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/mq_return_sqr.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_sqr.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/mq_return_sqr.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,42 +0,0 @@
-\name{mq_return_sqr}
-\Rdversion{1.1}
-\alias{mq_return_sqr}
-\title{
-Midquote squared return
-}
-
-\description{
-Function returns an xts object with the midquote squared returns, defined as
-
-\deqn{
-\mbox{midquote squared return}_t =  (\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1}))^2,
-}
-
-where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}}.
-}
-
-
-\usage{
-mq_return_sqr(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-}
-
-\value{
-an xts object containing midquote squared returns.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/p_return.Rd
===================================================================
--- pkg/RTAQ/man/p_return.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/p_return.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,41 +0,0 @@
-\name{p_return}
-\Rdversion{1.1}
-\alias{p_return}
-\title{
-Compute log returns
-}
-
-\description{
-Function returns an xts object 
-with the log returns on Trade prices as xts object.
-
-\deqn{
-\mbox{log return on Trade prices}_t =  (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).
-}
-}
-
-\usage{
-p_return(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing at least a column PRICE.)
-}
-}
-
-\section{Details}{
-Note: the first observation is set to zero.
-}
-
-\value{
-an xts object containing the log returns.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/p_return_abs.Rd
===================================================================
--- pkg/RTAQ/man/p_return_abs.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/p_return_abs.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,42 +0,0 @@
-\name{p_return_abs}
-\Rdversion{1.1}
-\alias{p_return_abs}
-\title{
-Absolute log returns
-}
-
-\description{
-Function returns an xts object 
-with the absolute log return on Trade prices as xts object.
-
-\deqn{
-\mbox{absolute log return on Trade prices}_t =  |\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})|.
-}
-
-}
-
-\usage{
-p_return_abs(data)
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-Note: the first observation is set to zero.
-}
-
-\value{
-an xts object containing the absolute log returns.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/p_return_sqr.Rd
===================================================================
--- pkg/RTAQ/man/p_return_sqr.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/p_return_sqr.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,42 +0,0 @@
-\name{p_return_sqr}
-\Rdversion{1.1}
-\alias{p_return_sqr}
-\title{
-Squared log returns
-}
-
-\description{
-Function returns an xts object 
-with the squared log return on Trade prices as xts object.
-
-\deqn{
-\mbox{squared log return on Trade prices}_t =  (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1}))^2.
-}
-
-}
-
-\usage{
-p_return_sqr(data);
-}
-
-\arguments{
-  \item{data}{ 
-xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq}})
-}
-}
-
-\section{Details}{
-Note: the first observation is set to zero.
-}
-
-\value{
-an xts object containing the squared log returns.
-}
-
-\references{
-}
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-%cd C:\package\TradeAnalytics\pkg\RTAQ\man
-%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file

Deleted: pkg/RTAQ/man/pes.Rd
===================================================================
--- pkg/RTAQ/man/pes.Rd	2010-11-22 18:30:44 UTC (rev 463)
+++ pkg/RTAQ/man/pes.Rd	2010-11-22 18:32:12 UTC (rev 464)
@@ -1,47 +0,0 @@
-\name{pes}
-\Rdversion{1.1}
-\alias{pes}
-\title{
-Proportional effective spread
-}
-
-\description{
-Function returns an xts object with the proportional effective spread, defined as
-
-\deqn{
-\mbox{proportional effective spread}_t =  \frac{\mbox{effective spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
-}
-(Venkataraman, 2001).
-
-Note that the input of this function consists of the matched trades and quotes,
- so this is were the time indication refers to (and thus not to the registered quote timestamp).
-}
-
[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/blotter -r 464