{ "_id": "6a11641facfb0bcc41cef705", "Package": "highfrequency", "Version": "1.0.2", "Date": "2025-12-06", "Title": "Tools for Highfrequency Data Analysis", "Authors@R": "c(\nperson(\"Kris\", \"Boudt\", , \"kris.boudt@ugent.be\", role = c(\"aut\", \"cre\"),\ncomment = c(ORCID = \"0000-0002-1000-5142\")),\nperson(\"Jonathan\", \"Cornelissen\", role = \"aut\"),\nperson(\"Scott\", \"Payseur\", , \"Scott.Payseur@gmail.com\", role = \"aut\"),\nperson(\"Giang\", \"Nguyen\", role = \"ctb\"),\nperson(\"Onno\", \"Kleen\", role = \"aut\",\ncomment = c(ORCID = \"0000-0003-4731-4640\")),\nperson(\"Emil\", \"Sjoerup\", role = \"aut\")\n)", "Description": "Provide functionality to manage, clean and match\nhighfrequency trades and quotes data, calculate various\nliquidity measures, estimate and forecast volatility, detect\nprice jumps and investigate microstructure noise and intraday\nperiodicity. A detailed vignette can be found in the\nopen-access paper \"Analyzing Intraday Financial Data in R: The\nhighfrequency Package\" by Boudt, Kleen, and Sjoerup (2022,\n).", "License": "GPL (>= 2)", "Encoding": "UTF-8", "LazyData": "true", "URL": "https://github.com/jonathancornelissen/highfrequency", "BugReports": "https://github.com/jonathancornelissen/highfrequency/issues", "RoxygenNote": "7.3.3", "Config/pak/sysreqs": "libssl-dev", "Repository": "https://jonathancornelissen.r-universe.dev", "Date/Publication": "2025-12-15 09:07:48 UTC", "RemoteUrl": "https://github.com/jonathancornelissen/highfrequency", "RemoteRef": "HEAD", "RemoteSha": "eb0e84898ce1c44142726412529bbcf9e296a066", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-05-23 08:17:29 UTC", "User": "root" }, "Author": "Kris Boudt [aut, cre] (ORCID: ),\nJonathan Cornelissen [aut],\nScott Payseur [aut],\nGiang Nguyen [ctb],\nOnno Kleen [aut] (ORCID: ),\nEmil Sjoerup [aut]", "Maintainer": "Kris Boudt ", "MD5sum": 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"version": "0.9.1", "date": "2021-11-02" }, { "version": "0.9.2", "date": "2022-01-13" }, { "version": "0.9.3", "date": "2022-04-21" }, { "version": "0.9.4", "date": "2022-05-03" }, { "version": "0.9.5", "date": "2022-08-17" }, { "version": "1.0.0", "date": "2022-10-26" }, { "version": "1.0.1", "date": "2023-10-04" }, { "version": "1.0.2", "date": "2025-12-11" }, { "version": "1.0.3", "date": "2026-01-08" } ], "_exports": [ "aggregatePrice", "aggregateQuotes", "aggregateTrades", "aggregateTS", "AJjumpTest", "autoSelectExchangeQuotes", "autoSelectExchangeTrades", "BNSjumpTest", "businessTimeAggregation", "driftBursts", "exchangeHoursOnly", "gatherPrices", "getAlphaVantageData", "getCriticalValues", "getLiquidityMeasures", "getTradeDirection", "HARmodel", "HEAVYmodel", "intradayJumpTest", "IVinference", "JOjumpTest", "knChooseReMeDI", "leadLag", "listAvailableKernels", "listCholCovEstimators", "makeOHLCV", "makePsd", "makeReturns", "makeRMFormat", "matchTradesQuotes", 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"rows": 43581, "table": true, "tojson": true }, { "name": "sampleOneMinuteData", "title": "One minute data", "object": "sampleOneMinuteData", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "STOCK", "MARKET" ], "rows": 8602, "table": true, "tojson": true }, { "name": "sampleQData", "title": "Sample of cleaned quotes for stock XXX for 2 days measured in microseconds", "object": "sampleQData", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "SYMBOL", "BID", "OFR", "OFRSIZ", "BIDSIZ", "EX", "MIDQUOTE" ], "rows": 46564, "table": true, "tojson": true }, { "name": "sampleQDataRaw", "title": "Sample of raw quotes for stock XXX for 2 days measured in microseconds", "object": "sampleQDataRaw", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "EX", "BID", "BIDSIZ", "OFR", "OFRSIZ", "SYMBOL" ], "rows": 131401, "table": true, "tojson": true }, { "name": "sampleTData", "title": "Sample of cleaned trades for stock XXX for 2 days", "object": "sampleTData", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "EX", "SYMBOL", "PRICE", "SIZE" ], "rows": 7168, "table": true, "tojson": true }, { "name": "sampleTDataEurope", "title": "European data", "object": "sampleTDataEurope", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "SYMBOL", "PRICE", "SIZE", "NUMTRADES" ], "rows": 33488, "table": true, "tojson": true }, { "name": "sampleTDataRaw", "title": "Sample of raw trades for stock XXX for 2 days", "object": "sampleTDataRaw", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "EX", "SYMBOL", "COND", "SIZE", "PRICE", "CORR" ], "rows": 77263, "table": true, "tojson": true }, { "name": "SPYRM", "title": "SPY realized measures", "object": "SPYRM", "class": [ "data.table", "data.frame" ], "fields": [ "DT", "RV1", "RV5", "BPV1", "BPV5", "medRV1", "medRV5", "RK1", "RK5", "RQ1", "RQ5", "medRQ1", "medRQ5", "CLOSE" ], "rows": 1495, "table": true, "tojson": true } ], "_help": [ { "page": "highfrequency-package", "title": "highfrequency: Tools for Highfrequency Data Analysis", "topics": [ "highfrequency-package", "highfrequency" ] }, { "page": "aggregatePrice", "title": "Aggregate a time series but keep first and last observation", "topics": [ "aggregatePrice" ] }, { "page": "aggregateQuotes", "title": "Aggregate a 'data.table' or 'xts' object containing quote data", "topics": [ "aggregateQuotes" ] }, { "page": "aggregateTrades", "title": "Aggregate a 'data.table' or 'xts' object containing trades data´", "topics": [ "aggregateTrades" ] }, { "page": "aggregateTS", "title": "Aggregate a time series", "topics": [ "aggregateTS" ] }, { "page": "AJjumpTest", "title": "Ait-Sahalia and Jacod (2009) tests for the presence of jumps in the price series.", "topics": [ "AJjumpTest" ] }, { "page": "autoSelectExchangeQuotes", "title": "Retain only data from the stock exchange with the highest volume", "topics": [ "autoSelectExchangeQuotes" ] }, { "page": "autoSelectExchangeTrades", "title": "Retain only data from the stock exchange with the highest trading volume", "topics": [ "autoSelectExchangeTrades" ] }, { "page": "BNSjumpTest", "title": "Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.", "topics": [ "BNSjumpTest" ] }, { "page": "businessTimeAggregation", "title": "Business time aggregation", "topics": [ "businessTimeAggregation" ] }, { "page": "driftBursts", "title": "Inference on drift burst hypothesis", "topics": [ "driftBursts" ] }, { "page": "exchangeHoursOnly", "title": "Extract data from an 'xts' object for the exchange hours only", "topics": [ "exchangeHoursOnly" ] }, { "page": "gatherPrices", "title": "Make TAQ format", "topics": [ "gatherPrices" ] }, { "page": "getAlphaVantageData", "title": "Get high frequency data from Alpha Vantage", "topics": [ "getAlphaVantageData" ] }, { "page": "getCriticalValues", "title": "Get critical value for the drift burst hypothesis t-statistic", "topics": [ "getCriticalValues", "getCriticalValues.DBH" ] }, { "page": "getLiquidityMeasures", "title": "Compute Liquidity Measure", "topics": [ "getLiquidityMeasures" ] }, { "page": "getTradeDirection", "title": "Get trade direction", "topics": [ "getTradeDirection" ] }, { "page": "HARmodel", "title": "Heterogeneous autoregressive (HAR) model for realized volatility model estimation", "topics": [ "HARmodel" ] }, { "page": "HEAVYmodel", "title": "HEAVY model estimation", "topics": [ "HEAVYmodel" ] }, { "page": "ICov", "title": "Estimators of the integrated covariance", "topics": [ "ICov" ] }, { "page": "intradayJumpTest", "title": "Intraday jump tests", "topics": [ "intradayJumpTest" ] }, { "page": "IVar", "title": "Estimators of the integrated variance", "topics": [ "IVar" ] }, { "page": "IVinference", "title": "Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.", "topics": [ "IVinference" ] }, { "page": "JOjumpTest", "title": "Jiang and Oomen (2008) tests for the presence of jumps in the price series.", "topics": [ "JOjumpTest" ] }, { "page": "knChooseReMeDI", "title": "ReMeDI tuning parameter", "topics": [ "knChooseReMeDI" ] }, { "page": "leadLag", "title": "Lead-Lag estimation", "topics": [ "leadLag" ] }, { "page": "listAvailableKernels", "title": "Available kernels", "topics": [ "listAvailableKernels" ] }, { "page": "listCholCovEstimators", "title": "Utility function listing the available estimators for the CholCov estimation", "topics": [ "listCholCovEstimators" ] }, { "page": "makeOHLCV", "title": "Make Open-High-Low-Close-Volume bars", "topics": [ "makeOHLCV" ] }, { "page": "makePsd", "title": "Returns the positive semidefinite projection of a symmetric matrix using the eigenvalue method", "topics": [ "makePsd" ] }, { "page": "makeReturns", "title": "Compute log returns", "topics": [ "makeReturns" ] }, { "page": "makeRMFormat", "title": "DEPRECATED use 'spreadPrices'", "topics": [ "makeRMFormat" ] }, { "page": "matchTradesQuotes", "title": "Match trade and quote data", "topics": [ "matchTradesQuotes" ] }, { "page": "mergeQuotesSameTimestamp", "title": "Merge multiple quote entries with the same time stamp", "topics": [ "mergeQuotesSameTimestamp" ] }, { "page": "mergeTradesSameTimestamp", "title": "Merge multiple transactions with the same time stamp", "topics": [ "mergeTradesSameTimestamp" ] }, { "page": "noZeroPrices", "title": "Delete the observations where the price is zero", "topics": [ "noZeroPrices" ] }, { "page": "noZeroQuotes", "title": "Delete the observations where the bid or ask is zero", "topics": [ "noZeroQuotes" ] }, { "page": "plot.DBH", "title": "Plotting method for 'DBH' objects", "topics": [ "plot.DBH" ] }, { "page": "plot.HARmodel", "title": "Plotting method for HARmodel objects", "topics": [ "plot.HARmodel" ] }, { "page": "plot.HEAVYmodel", "title": "Plotting method for HEAVYmodel objects", "topics": [ "plot.HEAVYmodel" ] }, { "page": "plotTQData", "title": "Plot Trade and Quote data", "topics": [ "plotTQData" ] }, { "page": "predict.HARmodel", "title": "Predict method for objects of type 'HARmodel'", "topics": [ "predict.HARmodel" ] }, { "page": "predict.HEAVYmodel", "title": "Iterative multi-step-ahead forecasting for HEAVY models", "topics": [ "predict.HEAVYmodel" ] }, { "page": "print.DBH", "title": "Printing method for 'DBH' objects", "topics": [ "print.DBH" ] }, { "page": "print.HARmodel", "title": "Printing method for 'HARmodel' objects", "topics": [ "print.HARmodel" ] }, { "page": "quotesCleanup", "title": "Cleans quote data", "topics": [ "quotesCleanup" ] }, { "page": "rankJumpTest", "title": "Rank jump test", "topics": [ "rankJumpTest" ] }, { "page": "rAVGCov", "title": "Realized covariances via subsample averaging", "topics": [ "rAVGCov" ] }, { "page": "rBACov", "title": "rBACov", "topics": [ "rBACov" ] }, { "page": "rBeta", "title": "Realized beta", "topics": [ "rBeta" ] }, { "page": "rBPCov", "title": "Realized bipower covariance", "topics": [ "rBPCov" ] }, { "page": "rCholCov", "title": "CholCov estimator", "topics": [ "rCholCov" ] }, { "page": "rCov", "title": "Realized covariance", "topics": [ "rCov" ] }, { "page": "refreshTime", "title": "Synchronize (multiple) irregular timeseries by refresh time", "topics": [ "refreshTime" ] }, { "page": "ReMeDI", "title": "ReMeDI", "topics": [ "ReMeDI" ] }, { "page": "ReMeDIAsymptoticVariance", "title": "Asymptotic variance of ReMeDI estimator", "topics": [ "ReMeDIAsymptoticVariance" ] }, { "page": "rHYCov", "title": "Hayashi-Yoshida covariance", "topics": [ "rHYCov" ] }, { "page": "rKernelCov", "title": "Realized kernel estimator", "topics": [ "rKernelCov" ] }, { "page": "rKurt", "title": "Realized kurtosis of highfrequency return series.", "topics": [ "rKurt" ] }, { "page": "rMedRQ", "title": "DEPRECATED", "topics": [ "rMedRQ" ] }, { "page": "rMedRQuar", "title": "An estimator of integrated quarticity from applying the median operator on blocks of three returns", "topics": [ "rMedRQuar" ] }, { "page": "rMedRV", "title": "DEPRECATED", "topics": [ "rMedRV" ] }, { "page": "rMedRVar", "title": "rMedRVar", "topics": [ "rMedRVar" ] }, { "page": "rMinRQ", "title": "DEPRECATED", "topics": [ "rMinRQ" ] }, { "page": "rMinRQuar", "title": "An estimator of integrated quarticity from applying the minimum operator on blocks of two returns", "topics": [ "rMinRQuar" ] }, { "page": "rMinRV", "title": "DEPRECATED", "topics": [ "rMinRV" ] }, { "page": "rMinRVar", "title": "rMinRVar", "topics": [ "rMinRVar" ] }, { "page": "rmLargeSpread", "title": "Delete entries for which the spread is more than 'maxi' times the median spread", "topics": [ "rmLargeSpread" ] }, { "page": "rmNegativeSpread", "title": "Delete entries for which the spread is negative", "topics": [ "rmNegativeSpread" ] }, { "page": "rmOutliersQuotes", "title": "Remove outliers in quotes", "topics": [ "rmOutliersQuotes" ] }, { "page": "rmOutliersTrades", "title": "Remove outliers in trades without using quote data", "topics": [ "rmOutliersTrades" ] }, { "page": "rMPV", "title": "DEPRECATED", "topics": [ "rMPV" ] }, { "page": "rMPVar", "title": "Realized multipower variation", "topics": [ "rMPVar" ] }, { "page": "rMRC", "title": "DEPRECATED rMRC", "topics": [ "rMRC" ] }, { "page": "rMRCov", "title": "Modulated realized covariance", "topics": [ "rMRCov" ] }, { "page": "rmTradeOutliersUsingQuotes", "title": "Delete transactions with unlikely transaction prices", "topics": [ "rmTradeOutliersUsingQuotes" ] }, { "page": "rOWCov", "title": "Realized outlyingness weighted covariance", "topics": [ "rOWCov" ] }, { "page": "rQPVar", "title": "Realized quad-power variation of intraday returns", "topics": [ "rQPVar" ] }, { "page": "rQuar", "title": "Realized quarticity", "topics": [ "rQuar" ] }, { "page": "rRTSCov", "title": "Robust two time scale covariance estimation", "topics": [ "rRTSCov" ] }, { "page": "rRVar", "title": "An estimator of realized variance.", "topics": [ "rRVar" ] }, { "page": "rSemiCov", "title": "Realized semicovariance", "topics": [ "rSemiCov" ] }, { "page": "rSkew", "title": "Realized skewness", "topics": [ "rSkew" ] }, { "page": "rSV", "title": "DEPRECATED", "topics": [ "rSV" ] }, { "page": "rSVar", "title": "Realized semivariance of highfrequency return series", "topics": [ "rSVar" ] }, { "page": "rThresholdCov", "title": "Threshold Covariance", "topics": [ "rThresholdCov" ] }, { "page": "rTPQuar", "title": "Realized tri-power quarticity", "topics": [ "rTPQuar" ] }, { "page": "rTSCov", "title": "Two time scale covariance estimation", "topics": [ "rTSCov" ] }, { "page": "RV", "title": "DEPRECATED DEPRECATED USE 'rRVar'", "topics": [ "RV" ] }, { "page": "salesCondition", "title": "salesCondition is deprecated. Use tradesCondition instead.", "topics": [ "salesCondition" ] }, { "page": "sampleMultiTradeData", "title": "Multivariate tick by tick data", "topics": [ "sampleMultiTradeData" ] }, { "page": "sampleOneMinuteData", "title": "One minute data", "topics": [ "sampleOneMinuteData" ] }, { "page": "sampleQData", "title": "Sample of cleaned quotes for stock XXX for 2 days measured in microseconds", "topics": [ "sampleQData" ] }, { "page": "sampleQDataRaw", "title": "Sample of raw quotes for stock XXX for 2 days measured in microseconds", "topics": [ "sampleQDataRaw" ] }, { "page": "sampleTData", "title": "Sample of cleaned trades for stock XXX for 2 days", "topics": [ "sampleTData" ] }, { "page": "sampleTDataEurope", "title": "European data", "topics": [ "sampleTDataEurope" ] }, { "page": "sampleTDataRaw", "title": "Sample of raw trades for stock XXX for 2 days", "topics": [ "sampleTDataRaw" ] }, { "page": "selectExchange", "title": "Retain only data from a single stock exchange", "topics": [ 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