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Spreads and mid quotes

fin-spreads.Rd

Compute spreads and midquotes from price streams.

Usage

spreads(x, which = c("Bid", "Ask"), tickSize = NULL)    
midquotes(x, which = c("Bid", "Ask"))

Arguments

x

an object of class timeSeries.

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 the bid and ask prices with column names c("Bid", "Ask").

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 inTicksOfSize to compute price changes in ticks.

Value

all functions return an object of class timeSeries

See also

returns, cumulated, drawdowns, splits, midquotes, index2wealth

Examples

## Load the Microsoft Data -  
   setRmetricsOptions(myFinCenter = "GMT")
   data(MSFT)
   X = MSFT[1:10, ]
   head(X)
#> GMT 
#>               Open    High     Low   Close   Volume
#> 2000-09-27 63.4375 63.5625 59.8125 60.6250 53077800
#> 2000-09-28 60.8125 61.8750 60.6250 61.3125 26180200
#> 2000-09-29 61.0000 61.3125 58.6250 60.3125 37026800
#> 2000-10-02 60.5000 60.8125 58.2500 59.1250 29281200
#> 2000-10-03 59.5625 59.8125 56.5000 56.5625 42687000
#> 2000-10-04 56.3750 56.5625 54.5000 55.4375 68226700

## Compute Open/Close Midquotes -
   X.MID <- midquotes(X, which = c("Close", "Open"))
   colnames(X.MID) <- "X.MID"
   X.MID
#> GMT 
#>               X.MID
#> 2000-09-27 62.03125
#> 2000-09-28 61.06250
#> 2000-09-29 60.65625
#> 2000-10-02 59.81250
#> 2000-10-03 58.06250
#> 2000-10-04 55.90625
#> 2000-10-05 55.43750
#> 2000-10-06 55.68750
#> 2000-10-09 54.90625
#> 2000-10-10 54.25000

## Compute Open/Close Spreads -
   X.SPREAD <- spreads(X, which = c("Close", "Open"))
   colnames(X.SPREAD) <- "X.SPREAD"
   X.SPREAD
#> GMT 
#>            X.SPREAD
#> 2000-09-27   2.8125
#> 2000-09-28  -0.5000
#> 2000-09-29   0.6875
#> 2000-10-02   1.3750
#> 2000-10-03   3.0000
#> 2000-10-04   0.9375
#> 2000-10-05   0.1250
#> 2000-10-06   0.2500
#> 2000-10-09   1.4375
#> 2000-10-10  -0.6250