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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 noZeroPrices function #82

Closed Tigrosso closed 2 years ago

Tigrosso commented 2 years ago

Hi, I'm missing the noZeroPrices function in the latest version of the Highfrequency package

Screenshot 2022-01-12 at 14 21 28
onnokleen commented 2 years ago

Dear Tigrosse, I am looking into it but it looks like the export flag is missing for that function in the newest version. I'll let you know asap.

onnokleen commented 2 years ago

You can install an updated version with the correct export via the devtools package from my personal fork

devtools::install_github("onnokleen/highfrequency")

until the fixed version is on cran.

Tigrosso commented 2 years ago

Hi Onno,

Thanks for your response, could you please give some more information on how I can install the package? I tried to install your version, but I keep getting errors.

Screenshot 2022-01-13 at 10 44 38
onnokleen commented 2 years ago

Hi Tigrosso,

It seems that you don't have the right toolchain installed on your computer, see the error about gfortran missing. We already submitted the updated version to CRAN. Hence, it might be easiest to just wait until CRAN releases it.

Tigrosso commented 2 years ago

Hi Onne,

I will, thanks again for all the help:)