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.
This PR fixes #75 and #76. Also, a unit test is fixed after changes to the
intradayJumpTestfunction in #73 and #74We can probably close #68