emilsjoerup / highfrequency

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Highfrequency financial data in R

The package is still under development and is distributed without warranty.

Thanks to report bugs or make suggestions to [e-mail].

Installation

CRAN:

install.packages("highfrequency")

Development version:

# Install package via devtools
# install.packages("devtools")
library(devtools)
install_github("https://github.com/jonathancornelissen/highfrequency")

Example

library(highfrequency)
# Print raw quotes data to console
sampleQDataRaw
# Cleanup quotes leaves 46566 out of 464221 observations.
quotesCleanup(qDataRaw = sampleQDataRaw, exchanges = "N")

Special thanks

We would like to thank Brian Peterson, Chris Blakely, Dirk Eddelbuettel, Eric Zivot and Maarten Schermer.