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.
You can see how tick_data_cleaned object changes after applying aggregateTS function on it. I am not sure if this is on purpose, but I would like more to keep my object as it is.
I would like to post one inconvenience IMHO. Using
aggregateTS
changes input DT, probably by reference. Here is an example:You can see how
tick_data_cleaned
object changes after applyingaggregateTS
function on it. I am not sure if this is on purpose, but I would like more to keep my object as it is.