Highfrequency financial data in R

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

Thanks to report bugs or make suggestions to kris.boudt@ugent.be.

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
sampleQDataRawMicroseconds
# Cleanup quotes leaves 46566 out of 464221 observations.
quotesCleanup(qDataRaw = sampleQDataRawMicroseconds, exchanges = "N")

Special thanks

We would like to thank Brian Peterson, Chris Blakely, Eric Zivot and Maarten Schermer. We are also grateful to Dirk Eddelbuettel for his support as a mentor during the Google Summmer of Code 2019.