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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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missing convert function #70

Closed patricklucescu closed 2 years ago

patricklucescu commented 3 years ago

Hi everyone. I have just installed this library and I was trying to convert some tick TAQ data from csv to xts using the convert function. However, it seems that the function is not included in the library anymore. Has it been deprecated? If yes, how would you recommend to load a huge csv file?

Thanks!

emilsjoerup commented 3 years ago

Dear Patrick,

I don't know of this convert function you mention, which leads me to think it's been deprecated and removed for two or more years.

If you are looking to load a big csv file we recommend the fread function in the data.table package - it is an excellent function and gives you a data.table which we use internally.

Unfortunately, if you want an xts object you will have to create it yourself.

Best, Emil

patricklucescu commented 3 years ago

Dear Emil,

Thanks a lot! There seem to be a lot of documentation/blog posts covering this function (see link), including on your official website I belive (link).

Many thanks for the recommended fread. It seems to be exactly what I was looking for:)

Best, Patrick