search

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.
147 stars 63 forks source link

More changes #66

Closed emilsjoerup closed 3 years ago

emilsjoerup commented 3 years ago

Various bug fixes and smaller changes.

Some changes are needed to compile the upcoming slides.

codecov-io commented 3 years ago

Codecov Report

Merging #66 (c987119) into master (0992bd1) will decrease coverage by 0.56%. The diff coverage is 55.80%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master      #66      +/-   ##
==========================================
- Coverage   59.05%   58.49%   -0.57%     
==========================================
  Files          26       27       +1     
  Lines        5991     6124     +133     
==========================================
+ Hits         3538     3582      +44     
- Misses       2453     2542      +89
Impacted Files Coverage Δ
R/plotTQData.R 0.00% <0.00%> (ø)
src/realizedMeasures.cpp 58.33% <0.00%> (-15.36%) :arrow_down:
R/internalSpotVolAndDrift.R 27.00% <20.00%> (ø)
R/internalRealizedMeasures.R 63.20% <33.33%> (ø)
R/internalPreaveringEstimators.R 82.05% <44.44%> (-12.40%) :arrow_down:
R/driftBursts.R 24.21% <50.00%> (+0.23%) :arrow_up:
R/realizedMeasures.R 80.02% <59.55%> (-2.52%) :arrow_down:
R/dataHandling.R 52.55% <60.27%> (-0.72%) :arrow_down:
R/HARmodel.R 41.53% <66.66%> (+2.74%) :arrow_up:
R/jumpTests.R 48.45% <74.07%> (-0.78%) :arrow_down:
... and 9 more

Continue to review full report at Codecov.

Legend - Click here to learn more Δ = absolute <relative> (impact), ø = not affected, ? = missing data Powered by Codecov. Last update 4796dfe...c987119. Read the comment docs.