[Blotter-commits] r1023 - in pkg/RTAQ: . man

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

Author: jonathan
Date: 2012-05-16 18:44:15 +0200 (Wed, 16 May 2012)
New Revision: 1023

Modified:
   pkg/RTAQ/DESCRIPTION
   pkg/RTAQ/man/sample_qdata.Rd
Log:
Included Realized library from http://realized.oxford-man.ox.ac.uk/ as xts object, which will be useful for examples of the HF forecasting functions. Thanks to Oxford-Man Institute of Quantitative Finance.

Modified: pkg/RTAQ/DESCRIPTION
===================================================================
--- pkg/RTAQ/DESCRIPTION	2012-05-11 02:31:18 UTC (rev 1022)
+++ pkg/RTAQ/DESCRIPTION	2012-05-16 16:44:15 UTC (rev 1023)
@@ -7,5 +7,5 @@
 Description: The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.
 Depends: xts, timeDate
 Suggests: realized, robustbase, cubature, mvtnorm, chron
-License: GPL
+License: GPL-2
 LazyLoad: yes
\ No newline at end of file

Modified: pkg/RTAQ/man/sample_qdata.Rd
===================================================================
--- pkg/RTAQ/man/sample_qdata.Rd	2012-05-11 02:31:18 UTC (rev 1022)
+++ pkg/RTAQ/man/sample_qdata.Rd	2012-05-16 16:44:15 UTC (rev 1023)
@@ -1,10 +1,9 @@
-\name{sample_qdata}
-\docType{data}
-\alias{sample_qdata}
-\title{Sample of cleaned quotes for stock XXX for 1 day}
-\description{
-An xts object containing the raw quotes for the imaginary stock XXX for 1 day, in the typical NYSE TAQ database format.
-This is the cleaned version of the data sample \code{\link{sample_qdataraw}}, using \code{\link{quotesCleanup}}.
+ \name{sample_qdata}
+ \docType{data}
+ \alias{sample_qdata}
+ \title{Sample of cleaned quotes for stock XXX for 1 day}
+ \description{
+ An xts object containing the raw quotes for the imaginary stock XXX for 1 day, in the typical   NYSE TAQ database format. This is the cleaned version of the data sample  \code{\link{sample_qdataraw}}, using \code{\link{quotesCleanup}}.
 }
 \usage{data("sample_qdata")}
 \format{xts object}