data.frame of date.time, volume, bid, ask, and price of IBM stock
transactions. date.time is of class 'chron', while volume, bid,
ask, and price are all numeric. Some tranactions have the same
date.time values, which is why this is a data.frame and not a zoo
object.
ibm9912.tp
IBM transactions data of December 1999: data.frame of date.time
and price.
ibmdurad
Adjusted time durations between trades of IBM stock
(11/01/1990-1/31/1991).
Format: data.frame with columns date.time and adjusted.duration
ibm1to5.dur
subset of 'ibmdurad' limited to positive durations in the first 5
trading days.
ibm91.ads
a data.frame on the changes in the price of IBM stock transactions
between November 1, 1990 and January 31, 1991. This period
includes 63 trading days, during which 59,838 transactions were
recorded during normal trading hours. The first transcation for
each day was dropped leaving the 59,775 transactions in this
data.frame.
A.priceChange
1 if a price change from the previous trade, 0 otherwise
DirectionOfChg
1 if positive, -1 if negative, 0 if no change
SizeInTicks
Size of the price change in number of ticks of 1/8 of a US
dollar.
NOTE: There are 10 anomalous records for which A.priceChange
!=0 but SizeInTicks == 0 in this data.frame. These correspond
to price changes of half a tick, which got rounded down to 0.
ibm91.adsx
a data.frame with 6 variables the same transactions as in
'ibm91.ads':
volume.thousandsthousands of shares traded
time.betw.tradesseconds between the previous two trades
bid.ask.spread
the bid-ask spread in USD of the current transaction.
A.priceChange
1 if the previous trade involved a price change from its
predacessor, and 0 otherwise
DirectionOfChg
1 if the previous change was positive, -1 if negative, 0 if no
change
SizeInTicks
Size of the price change in the previous trade in number of
ticks of 1/8 of a US dollar.
NOTE: The last three columns are ibm91.ads lagged one
transaction, so ibm91.adsx[-1, 4:5] == ibm91.ads[-59775, ],
with 24 exceptions.
day15.ori
data.frame with the transaction time and the stock price for the
728 IBM stock transactions that occurred during normal trading
hours on November 21, 1990.
day15
a zoo object with the following columns supposedly summarizing
only the price changes in day15.ori:
timeBetwPriceChg
time in seconds since the last price change
DirectionOfChange
1 if the price increased, -1 if it decreased
priceChgTicks
price change in number of ticks of USD 1/8.
nTradesWoChg
number of trades without a price change since the previous
price change ... supposedly. These numbers do not match a
manual extraction of these data from 'day15.ori'.
multTrans
1 if there were multiple transactions within the same one
second interval, 0 if not.
dailyCumChg
cumulative price change in USD since the start of normal
trading on November 21, 1990.