R Observatory: Metrics for RTAQ version 0.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

This package was removed from CRAN on 2013-02-23. Its history is shown below.

Reason: No clean update received after requests on Nov 2012, Dec 2012, Jan 2013; hence archived 2013-02-23.

Details below reflect version 0.2, its last release before removal.

RTAQ

0.2

RTAQ: Tools for the analysis of trades and quotes in R

0packages depend

–downloads / year

–test coverage

–checks pass

Overview

About

Maintained by Jonathan Cornelissen2 releasesCRAN page ↗

The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.

Install

R (source archive)

url <- "https://cran.r-project.org/src/contrib/Archive/RTAQ/RTAQ_0.2.tar.gz"
pkgFile <- "RTAQ_0.2.tar.gz"
download.file(url, pkgFile)
install.packages(pkgFile, type = "source", repos = NULL)

This package is no longer on CRAN, so install.packages() cannot fetch it by name. This downloads the last archived source (0.2) and builds it locally. Install its dependencies first, and note that building from source needs the usual compiler toolchain.

Health

CRAN checks

CRAN check results are not tracked yet.

Code health

None

Tests · ratio 0.00

not tracked

Coverage

93%

Documentation · exports

2

Dependencies · direct

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 92%
References docs: 38%

Downloads

RTAQ Releases R versions

Daily download trend is not available in this view yet.

Compare downloads with other packages →

Dependencies

Declared dependencies

7 external dependencies (excludes base and recommended)

Depends (3)

R >= 2.10xts timeDate

Imports (0)

none

LinkingTo (0)

none

Suggests (5)

realized robustbase cubature mvtnorm chron

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

–indirect (not tracked)

Nothing depends on this yet.

Code & Tests

People & History

People (2)

Other (2)

Jonathan Cornelissen

Contributor

Kris Boudt

Contributor

Package Timeline

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

R
R 3.0.0 released · 2013-04-03
0.2archived
2013-02-23 · diff ↗
No clean update received after requests on Nov 2012, Dec 2012, Jan 2013; hence archived 2013-02-23.
0.2
2012-04-05 · diff ↗
R
R 2.15.0 released · 2012-03-30
R
R 2.14.0 released · 2011-10-31
0.1
2011-04-20
R
R 2.13.0 released · 2011-04-13

Package metadata

Total releases: 2
License: GPL
Minimum R: ≥ 2.10
Bundled data: 545 KB / 7 files
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("RTAQ")

Format

Cornelissen, J., & Boudt, K. (n.d.). RTAQ: RTAQ: Tools for the analysis of trades and quotes in R (Version 0.2) [Computer software]. Retrieved August 14, 2026, from https://CRAN.R-project.org/package=RTAQ

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for RTAQ version 0.2 [Data set]. HJJB, LLC. Data release v2026-08-14. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-14, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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