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.
Forgot to make a PR for the #MCHA minor update I had to do to keep CRAN happy. Checks failed on M1 due to lack of OpenMP And Solaris (again)