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jonathancornelissen / 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.
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Is this tutorial up to date? #55

Closed waynelapierre closed 2 years ago

waynelapierre commented 3 years ago

I am trying to find some online tutorials of the highfrequency package. Is this tutorial up to date? http://highfrequency.herokuapp.com/

kboudt commented 3 years ago

No, it's outdated. We are working on a new tutorial. Will be ready by end of December.

MislavSag commented 3 years ago

Do you have development version of the new tutorial? In general, i am developing algo strategies in last few months. I started in python, mostly because of backtesting frameworks like backtrader and quantconnect and finance libraries like mlfiblab. But I like to do research part in R.

In nutshell I would like to make contributions to this package, excpecialy if it is connected to algo trading. If I can help with something, please send me PM.

I can maybe write some useful functions from mlfinlab like dollar bars or cusum filtering. Of labeling methods for financial ML.

kboudt commented 2 years ago

The new vignette is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3917548