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A simulated dataset containing sample timestamp, price, volume, bid and ask for 100 000 high frequency transactions.

Usage

hfdata

Format

A data frame with 100 000 observations with 5 variables:

  • timestamp: time of the trade.

  • price: transaction price.

  • volume: volume of the transactions, in asset units.

  • bid: best bid price.

  • ask: best ask price.

Source

Artificially created data set.