highfrequency

1.0.3

Tools for Highfrequency Data Analysis

0packages depend

23.2Kdownloads / year

68.3%test coverage

13/13checks pass

Overview

About

Maintained by Kris BoudtFirst published 2012-12-2627 releasesCRAN page ↗GitHub ↗

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).

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("highfrequency", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("jonathancornelissen/highfrequency")

Development version from jonathancornelissen/highfrequency. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-highfrequency

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-highfrequency

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-highfrequency

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 5.5 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.12

68.3%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 77%
Documented parameters: 100%
Return-value docs: 80%
References docs: 49%

Downloads

23.2K

CRAN downloads in the past year

Rank #2,995 · ~64/day · ~1.9K/mo

Releases R versions

Daily download trend is not available in this view yet.

1.3K30 days

4.7K90 days

23.2K1 year

Compare downloads with other packages →

Also on504 r2u3 autocran79 c2d4u

Repository

GitHub ↗ jonathancornelissen/highfrequency

162Stars

67Forks

1Open issues

9Open PRs

0Releases

991Commits

11Contributors

991 commits · Last activity 2025-12-15 · +1.9% stars, 30d

Stars over time

2025-06-24 · 1512026-07-10 · 162

Repository practices

Upstream repositoryBeta

4 development-tooling and community-health practices detected across 3 families in the upstream repository

Checks run against github.com/jonathancornelissen/highfrequency on 2026-07-30.

Continuous integration (1)

Travis CI

Reproducibility and dev environment (1)

data-raw/

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

19 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (15)

xts zoo RcppgraphicsmethodsstatsutilsgrDevicesrobustbase data.table RcppRoll quantmod sandwich numDeriv Rsolnp

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (7)

mvtnorm covr FKF rugarch testthat knitr rmarkdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (6)

Maintainer (1)

Kris Boudt

Author, Maintainer

Authors (5)

Kris Boudt

Author, Maintainer

Jonathan Cornelissen

Author

Onno Kleen

Author · added in 0.6.0

Scott Payseur

Author

Emil Sjoerup

Author · added in 0.7.0

Contributors (1)

Giang Nguyen

Contributor · added in 0.4

Listed in earlier versions (1)

Maarten Schermer

no longer listed · 0.4 to 0.5.3

Package Timeline

27 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.0.3Latest
2026-01-08 · current release · diff ↗
1.0.2
2025-12-08 · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.0.1
2023-10-04 · diff ↗
R
R 4.3.0 released · 2023-04-21
1.0.0
2022-10-26 · diff ↗
0.9.5
2022-08-17 · diff ↗
0.9.4
2022-05-03 · diff ↗
R
R 4.2.0 released · 2022-04-22
0.9.3
2022-04-21 · diff ↗
0.9.2
2022-01-13 · diff ↗
0.9.1
2021-11-02 · diff ↗
0.9.0
2021-06-11 · diff ↗
R
R 4.1.0 released · 2021-05-18

Show 26 earlier events

0.8.0.1
2021-01-15 · diff ↗
0.8.0
2021-01-09 · diff ↗
0.7.0.1
2020-09-28 · diff ↗
0.7.0
2020-09-16 · diff ↗
R
R 4.0.0 released · 2020-04-24
0.6.5
2020-04-16 · diff ↗
0.6.4
2020-02-26 · diff ↗
0.6.3
2020-01-15 · diff ↗
0.6.2
2019-12-14 · diff ↗
0.6.1
2019-08-29 · diff ↗
0.6.0
2019-08-20 · diff ↗
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
0.5.3
2018-03-03 · diff ↗
0.5.2
2017-07-31 · diff ↗
0.5.1
2017-05-13 · diff ↗
R
R 3.4.0 released · 2017-04-21
0.5
2017-02-15 · diff ↗
R
R 3.3.0 released · 2016-05-03
R
R 3.2.0 released · 2015-04-16
0.4
2014-11-28 · diff ↗
R
R 3.1.0 released · 2014-04-10
0.2
2013-04-09 · diff ↗
R
R 3.0.0 released · 2013-04-03
0.1
2012-12-26
R
R 2.15.0 released · 2012-03-30

Package metadata

First published: 2012-12-26
Total releases: 27 / 14 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5.0
Bundled data: 1.8 MB / 8 files
Download size: 2.2 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

Report a problem with this page →