R Observatory: Metrics for highfrequency version 1.0.3

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

highfrequency

1.0.3Package record

Tools for Highfrequency Data Analysis

0packages depend

20.4Kdownloads / year

68.3%test coverage

13/13flavors OK

Overview

About

Maintained by Kris BoudtCRAN page ↗GitHub ↗Issues ↗

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).

Changes in 1.0.3

Bug fix: time zone handling via Github issue #104.

From NEWS.md in the release

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. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

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). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 5.6 min · r-devel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK13 OK2026-06-09
ERROR12 OK, 1 ERROR2026-06-08
OK12 OK2026-04-25

Show 3 earlier changesHide 3 earlier changes

NOTE12 OK, 2 NOTE2026-04-22
ERROR11 OK, 2 NOTE, 1 ERROR2026-04-18
NOTE12 OK, 2 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0.3

READMENoVignettesNoNEWSYes · 100% structured · mentions 1.0.3Citation fileYes · cites a publicationWebsitenot declared in DESCRIPTION

Cites a JSS article

Help pages: 108 (2 internal)includes a package overview page
Examples that run: 68%44 run in a plain check (13 of them under a condition) · 21 never run
Exported functions with examples: 70%
Documented parameters: 100%
Return-value docs: 80%
Help pages citing references: 49%

How these are measured

Downloads

20.4K

CRAN downloads in the past year

Rank #3,247 · ~56/day · ~1.7K/mo

Releases R versions

Daily download trend is not available in this view yet.

1.1K30 days

3.6K90 days

20.4K1 year

Compare downloads with other packages →

Also on508 r2u6 autocran191 c2d4u

How downloads are counted

Repository

jonathancornelissen/highfrequency ↗Account: jonathancornelissen

164Stars

67Forks

1Open issues

9Open PRs

0Releases

991Commits

11Commit identities

991 commits · Last activity 2025-12-15 · +0.6% stars, 30d · The default branch showed an older version (1.0.2) than CRAN on 2026-10-11

Responsiveness

How these are sampled

PRs merged (all time): 96%
Median days to close, 50 most recently updated closed issues: 186
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-09-28 · 1542026-10-05 · 164

How these are measured

PracticesBeta

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

Checks run against github.com/jonathancornelissen/highfrequency on 2026-10-11.

Continuous integration (1)

Travis CI (config file)

Reproducibility and dev environment (1)

data-raw/

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

How this is detected·Detection ruleset v3 (2026-09-26)

Dependencies

Declared dependencies

19 external dependencies (excludes base and recommended)

Installing highfrequency adds 22 packages (14 with compiled code, 17 MB of source tarballs). Heaviest: data.table 5.7 MB, robustbase 2.2 MB, Rcpp 1.8 MB.

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.

How these are counted

Code & Tests

Datasets

People & History

People (6)

Kris Boudt

Author, Maintainer since 0.4 (2014)

Jonathan Cornelissen

Author

Onno Kleen

Author · added in 0.6.0

Scott Payseur

Author

Emil Sjoerup

Author · added in 0.7.0

Giang Nguyen

Contributor · added in 0.4

Previously maintained by Jonathan Cornelissen (0.1 to 0.2).

Listed in earlier versions (1)

Maarten Schermer

no longer listed · 0.4 to 0.5.3

Releases (27)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
1.0.3Latest
record
2026-01-08 · current release · diff ↗
1.0.2
record
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
record
2023-10-04 · diff ↗ ·
added 1 export
rmOutliersTrades
R
R 4.3.0 released · 2023-04-21
1.0.0
record
2022-10-26 · diff ↗
0.9.5
record
2022-08-17 · diff ↗
0.9.4
record
2022-05-03 · diff ↗
R
R 4.2.0 released · 2022-04-22
0.9.3
record
2022-04-21 · diff ↗
0.9.2
record
2022-01-13 · diff ↗ ·
added 1 export
noZeroPrices
0.9.1
record
2021-11-02 · diff ↗
0.9.0
record
2021-06-11 · diff ↗ ·
added 12 exports
gatherPrices, plotTQData, rBACov, rMPVar, rMRCov, rMedRQuar, rMedRVar, rMinRQuar, rMinRVar, rRVar, rSVar, spreadPrices
R
R 4.1.0 released · 2021-05-18

Show 26 earlier eventsHide 26 earlier events

0.8.0.1
record
2021-01-15 · diff ↗
0.8.0
record
2021-01-09 · diff ↗ ·
removed 10 exports
MRC, RTQ, hasQty, ivInference, medRQ, medRV, minRQ, minRV, rTPVar, rmTradeOutliers

added 13 exports
IVinference, ReMeDIAsymptoticVariance, driftBursts, getCriticalValues, makeOHLCV, makeRMFormat, rMRC, rMedRQ, rMedRV, rMinRQ, rMinRV, rTPQuar, tradesCondition
0.7.0.1
record
2020-09-28 · diff ↗
0.7.0
record
2020-09-16 · diff ↗ ·
removed 7 exports
AJjumptest, BNSjumptest, JOjumptest, aggregatets, harModel, heavyModel, spotvol

added 18 exports
AJjumpTest, BNSjumpTest, HARmodel, HEAVYmodel, JOjumpTest, ReMeDI, aggregateTS, businessTimeAggregation, getAlphaVantageData, intradayJumpTest, knChooseReMeDI, leadLag, listCholCovEstimators, rCholCov, rSemiCov, rankJumpTest, rmLargeSpread, spotVol
R
R 4.0.0 released · 2020-04-24
0.6.5
record
2020-04-16 · diff ↗
0.6.4
record
2020-02-26 · diff ↗
0.6.3
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2020-01-15 · diff ↗
0.6.2
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2019-12-14 · diff ↗
0.6.1
record
2019-08-29 · diff ↗
0.6.0
record
2019-08-20 · diff ↗ ·
removed 17 exports
rKernel.available, rZero, rAccumulation, rMarginal, rCumSum, rScatterReturns, convert, TAQLoad, tqLiquidity, tradesCleanupFinal, noZeroPrices, rmLargeSpread, rmOutliers, previoustick, heavyModelC, getPrice, has.Qty

added 9 exports
RTQ, RV, getLiquidityMeasures, hasQty, listAvailableKernels, rmOutliersQuotes, rmTradeOutliersUsingQuotes, spotDrift, tradesCleanupUsingQuotes
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
0.5.3
record
2018-03-03 · diff ↗
0.5.2
record
2017-07-31 · diff ↗
0.5.1
record
2017-05-13 · diff ↗
R
R 3.4.0 released · 2017-04-21
0.5
record
2017-02-15 · diff ↗
R
R 3.3.0 released · 2016-05-03
R
R 3.2.0 released · 2015-04-16
0.4
record
2014-11-28 · diff ↗ ·
removed 1 export
spotVol

added 19 exports
AJjumptest, BNSjumptest, ivInference, JOjumptest, medRQ, minRQ, MRC, rBeta, rKurt, rMPV, rQPVar, rQuar, rSkew, rSV, rTPVar, heavyModelC, spotvol, getPrice, has.Qty
R
R 3.1.0 released · 2014-04-10
0.2
record
2013-04-09 · diff ↗
R
R 3.0.0 released · 2013-04-03
0.1
record
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

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' entry:

citation("highfrequency")

The package provides a citation file, so citation() returns the authors' own entry.

It points to 10.18637/jss.v104.i08.

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 highfrequency version 1.0.3 [Data set]. HJJB, LLC. Data release v2026-10-19. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-19, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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