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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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quick change #59

Closed emilsjoerup closed 3 years ago

emilsjoerup commented 3 years ago

Hi Kris,

I thought I had already made this change but it was not done properly

I have changed the lagQuotes variable default to 0 as that is what most users would expect and what should be done with newer datasets.

I also added a unit test for backwards forwards matching algorithm.

codecov-io commented 3 years ago

Codecov Report

Merging #59 (5f3619b) into master (4e66786) will increase coverage by 1.27%. The diff coverage is n/a.

Impacted file tree graph

@@            Coverage Diff             @@
##           master      #59      +/-   ##
==========================================
+ Coverage   57.50%   58.78%   +1.27%     
==========================================
  Files          24       24              
  Lines        5782     5782              
==========================================
+ Hits         3325     3399      +74     
+ Misses       2457     2383      -74
Impacted Files Coverage Δ
R/dataHandling.R 53.27% <ø> (+1.63%) :arrow_up:
R/internalDataHandling.R 85.65% <0.00%> (+23.91%) :arrow_up:

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