High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern This is a pretty good tutorial PDF: http://faculty.washington.edu/ezivot/research/hfanalysis.pdf Get the data from: http://faculty.washington.edu/ezivot/splus.htm This is hinted at the bottom of page2.Ensure to load the RTAQ R package from CRAN for use to load the data. Note […]