Old High Frequency Tick Data R Package exists with spreads, trade direction, statistics, volatility for forex and equity
Old High Frequency Tick Data R Package exists with spreads, trade direction, statistics, volatility for forex and equity This high frequency R package looks fantastic. It includes a lot of analysis on high frequency data where the number of observations could easily be 100K or way more. It contains so many juicy benefits including: 1. […]
How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R
How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R From http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf This appears to work ok but this RTAQ package is impressing me each time
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 […]