Package: highfrequency 1.0.0

Kris Boudt

highfrequency: Tools for Highfrequency Data Analysis

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity. A detailed vignette can be found in the paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN. A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.

Authors:Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut], Emil Sjoerup [aut]

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highfrequency.pdf |highfrequency.html✨
highfrequency/json (API)
NEWS

# Install 'highfrequency' in R:

install.packages('highfrequency', repos = c('https://jonathancornelissen.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/jonathancornelissen/highfrequency/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

SPYRM - SPY realized measures
sampleMultiTradeData - Multivariate tick by tick data
sampleOneMinuteData - One minute data
sampleQData - Sample of cleaned quotes for stock XXX for 2 days measured in microseconds
sampleQDataRaw - Sample of raw quotes for stock XXX for 2 days measured in microseconds
sampleTData - Sample of cleaned trades for stock XXX for 2 days
sampleTDataEurope - European data
sampleTDataRaw - Sample of raw trades for stock XXX for 2 days

On CRAN:

86 exports 147 stars 4.86 score 17 dependencies 307 scripts 1.5k downloads

Last updated 2 years agofrom:967dc40e0f. Checks:OK: 1 ERROR: 8. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 08 2024
R-4.5-win-x86_64	ERROR	Sep 08 2024
R-4.5-linux-x86_64	ERROR	Sep 08 2024
R-4.4-win-x86_64	ERROR	Sep 08 2024
R-4.4-mac-x86_64	ERROR	Sep 08 2024
R-4.4-mac-aarch64	ERROR	Sep 08 2024
R-4.3-win-x86_64	ERROR	Sep 08 2024
R-4.3-mac-x86_64	ERROR	Sep 08 2024
R-4.3-mac-aarch64	ERROR	Sep 08 2024

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 mergeQuotesSameTimestamp mergeTradesSameTimestamp noZeroPrices noZeroQuotes plotTQData quotesCleanup rankJumpTest rAVGCov rBACov rBeta rBPCov rCholCov rCov refreshTime ReMeDI ReMeDIAsymptoticVariance rHYCov rKernelCov rKurt rMedRQ rMedRQuar rMedRV rMedRVar rMinRQ rMinRQuar rMinRV rMinRVar rmLargeSpread rmNegativeSpread rmOutliersQuotes rMPV rMPVar rMRC rMRCov rmTradeOutliersUsingQuotes rOWCov rQPVar rQuar rRTSCov rRVar rSemiCov rSkew rSV rSVar rThresholdCov rTPQuar rTSCov RV salesCondition selectExchange spotDrift spotVol spreadPrices tradesCleanup tradesCleanupUsingQuotes tradesCondition

Dependencies:curl data.table DEoptimR jsonlite lattice numDeriv quantmod Rcpp RcppArmadillo RcppRoll robustbase Rsolnp sandwich truncnorm TTR xts zoo

Help page	Topics
highfrequency: Tools for Highfrequency Data Analysis	highfrequency-package highfrequency
Aggregate a time series but keep first and last observation	aggregatePrice
Aggregate a 'data.table' or 'xts' object containing quote data	aggregateQuotes
Aggregate a 'data.table' or 'xts' object containing trades data´	aggregateTrades
Aggregate a time series	aggregateTS
Ait-Sahalia and Jacod (2009) tests for the presence of jumps in the price series.	AJjumpTest
Retain only data from the stock exchange with the highest volume	autoSelectExchangeQuotes
Retain only data from the stock exchange with the highest trading volume	autoSelectExchangeTrades
Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.	BNSjumpTest
Business time aggregation	businessTimeAggregation
Inference on drift burst hypothesis	driftBursts
Extract data from an 'xts' object for the exchange hours only	exchangeHoursOnly
Make TAQ format	gatherPrices
Get high frequency data from Alpha Vantage	getAlphaVantageData
Get critical value for the drift burst hypothesis t-statistic	getCriticalValues getCriticalValues.DBH
Compute Liquidity Measure	getLiquidityMeasures
Get trade direction	getTradeDirection
Heterogeneous autoregressive (HAR) model for realized volatility model estimation	HARmodel
HEAVY model estimation	HEAVYmodel
Estimators of the integrated covariance	ICov
Intraday jump tests	intradayJumpTest
Estimators of the integrated variance	IVar
Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.	IVinference
Jiang and Oomen (2008) tests for the presence of jumps in the price series.	JOjumpTest
ReMeDI tuning parameter	knChooseReMeDI
Lead-Lag estimation	leadLag
Available kernels	listAvailableKernels
Utility function listing the available estimators for the CholCov estimation	listCholCovEstimators
Make Open-High-Low-Close-Volume bars	makeOHLCV
Returns the positive semidefinite projection of a symmetric matrix using the eigenvalue method	makePsd
Compute log returns	makeReturns
DEPRECATED use 'spreadPrices'	makeRMFormat
Match trade and quote data	matchTradesQuotes
Merge multiple quote entries with the same time stamp	mergeQuotesSameTimestamp
Merge multiple transactions with the same time stamp	mergeTradesSameTimestamp
Delete the observations where the price is zero	noZeroPrices
Delete the observations where the bid or ask is zero	noZeroQuotes
Plotting method for 'DBH' objects	plot.DBH
Plotting method for HARmodel objects	plot.HARmodel
Plotting method for HEAVYmodel objects	plot.HEAVYmodel
Plot Trade and Quote data	plotTQData
Predict method for objects of type 'HARmodel'	predict.HARmodel
Iterative multi-step-ahead forecasting for HEAVY models	predict.HEAVYmodel
Printing method for 'DBH' objects	print.DBH
Printing method for 'HARmodel' objects	print.HARmodel
Cleans quote data	quotesCleanup
Rank jump test	rankJumpTest
Realized covariances via subsample averaging	rAVGCov
rBACov	rBACov
Realized beta	rBeta
Realized bipower covariance	rBPCov
CholCov estimator	rCholCov
Realized covariance	rCov
Synchronize (multiple) irregular timeseries by refresh time	refreshTime
ReMeDI	ReMeDI
Asymptotic variance of ReMeDI estimator	ReMeDIAsymptoticVariance
Hayashi-Yoshida covariance	rHYCov
Realized kernel estimator	rKernelCov
Realized kurtosis of highfrequency return series.	rKurt
DEPRECATED	rMedRQ
An estimator of integrated quarticity from applying the median operator on blocks of three returns	rMedRQuar
DEPRECATED	rMedRV
rMedRVar	rMedRVar
DEPRECATED	rMinRQ
An estimator of integrated quarticity from applying the minimum operator on blocks of two returns	rMinRQuar
DEPRECATED	rMinRV
rMinRVar	rMinRVar
Delete entries for which the spread is more than 'maxi' times the median spread	rmLargeSpread
Delete entries for which the spread is negative	rmNegativeSpread
Remove outliers in quotes	rmOutliersQuotes
DEPRECATED	rMPV
Realized multipower variation	rMPVar
DEPRECATED rMRC	rMRC
Modulated realized covariance	rMRCov
Delete transactions with unlikely transaction prices	rmTradeOutliersUsingQuotes
Realized outlyingness weighted covariance	rOWCov
Realized quad-power variation of intraday returns	rQPVar
Realized quarticity	rQuar
Robust two time scale covariance estimation	rRTSCov
An estimator of realized variance.	rRVar
Realized semicovariance	rSemiCov
Realized skewness	rSkew
DEPRECATED	rSV
Realized semivariance of highfrequency return series	rSVar
Threshold Covariance	rThresholdCov
Realized tri-power quarticity	rTPQuar
Two time scale covariance estimation	rTSCov
DEPRECATED DEPRECATED USE 'rRVar'	RV
salesCondition is deprecated. Use tradesCondition instead.	salesCondition
Multivariate tick by tick data	sampleMultiTradeData
One minute data	sampleOneMinuteData
Sample of cleaned quotes for stock XXX for 2 days measured in microseconds	sampleQData
Sample of raw quotes for stock XXX for 2 days measured in microseconds	sampleQDataRaw
Sample of cleaned trades for stock XXX for 2 days	sampleTData
European data	sampleTDataEurope
Sample of raw trades for stock XXX for 2 days	sampleTDataRaw
Retain only data from a single stock exchange	selectExchange
Spot Drift Estimation	spotDrift
Spot volatility estimation	spotVol
Convert to format for realized measures	spreadPrices
SPY realized measures	SPYRM
Summary for 'HARmodel' objects	summary.HARmodel
Cleans trade data	tradesCleanup
Perform a final cleaning procedure on trade data	tradesCleanupUsingQuotes
Delete entries with abnormal trades condition.	tradesCondition

Package: highfrequency 1.0.0

highfrequency: Tools for Highfrequency Data Analysis

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