Errors in first example

[Mislav Sagovac]

Hi,

I tried to implement the first example from docs, but there are few errors.

1. There is no sample_tdata in the docs, but there is sampleTData in the high-frequency package?
2. There is no drift_bursts function in the package but there is driftBursts package.
3. There is no iCores argument, but ncores.
4. I don't understand how to set testTimes argument if I have xts object as input.
5. What is the lowest frequency e can use to test for drift burst hypothesis?

[Emil sjørup]

Hi,
1,2,3:
I wrote this example a long time ago, I apparently didn't update it since - thanks for pointing it out for me. I will fix it.
However, you should probably take a look at the version in the development version of the highfrequency package. I have made some improvements to the code that will be included in next version of the highfrequency package. You can install the development version of highfrequency using:
devtools::install_github('emilsjoerup/highfrequency')

4: testTimes should be set as seconds AFTER midnight that you want to test at. For example 9:45:00 would be 9.75 * 3600, 12:15 would be 12.25 * 3600.
5: You can choose whatever frequency that you want, but you don't have to have the same distance between tests. You can do it arbitrarily as long as you don't test less than 5 seconds after market open and more than 15 minutes after market close - I have made these restrictions because I was running into crashes without them.