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

(Last Updated On: May 30, 2012)

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 that the TAQLoad has changed since this PDF so you will need to change the call.

This also contains some great metrics where you can instantly capture things llike realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

All I can say is wow!

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About Bryan D

I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties:C++, Java, C#, quant, models, strategies, technical analysis, linux, windows