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highfrequency

Tools for Highfrequency Data Analysis

v1.0.3 · Jan 8, 2026 · GPL (>= 2)

Description

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity. A detailed vignette can be found in the open-access paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

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CRAN Check Status

2 NOTE
12 OK
Show all 14 flavors
Flavor Status
r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 OK
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK
Check details (14 non-OK)
OK r-devel-linux-x86_64-debian-clang

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OK r-devel-linux-x86_64-debian-gcc

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OK r-devel-linux-x86_64-fedora-clang

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OK r-devel-linux-x86_64-fedora-gcc

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OK r-devel-macos-arm64

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OK r-devel-windows-x86_64

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NOTE r-oldrel-macos-arm64

installed package size

  installed size is  6.9Mb
  sub-directories of 1Mb or more:
    data   1.9Mb
    libs   3.9Mb
NOTE r-oldrel-macos-x86_64

installed package size

  installed size is  7.4Mb
  sub-directories of 1Mb or more:
    data   2.4Mb
    libs   4.0Mb
OK r-oldrel-windows-x86_64

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OK r-patched-linux-x86_64

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OK r-release-linux-x86_64

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OK r-release-macos-arm64

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OK r-release-macos-x86_64

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OK r-release-windows-x86_64

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Check History

NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE r-oldrel-macos-arm64

installed package size

  installed size is  6.9Mb
  sub-directories of 1Mb or more:
    data   1.9Mb
    libs   3.9Mb
NOTE r-oldrel-macos-x86_64

installed package size

  installed size is  7.4Mb
  sub-directories of 1Mb or more:
    data   2.4Mb
    libs   4.0Mb

Dependency Network

Dependencies Reverse dependencies xts zoo Rcpp robustbase data.table RcppRoll quantmod sandwich numDeriv Rsolnp highfrequency

Version History

new 1.0.3 Mar 9, 2026