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

	RTAQ: Tools for the analysis of trades and quotes in R
	Description
	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. More information in the RTAQ manual Extra information in the RTAQ vignette (new!) Please note that the most up-to-date information on the functions can be found in the help files of the package itself.
	Download
	Recent documented versions of the package: source code: RTAQ_0.1.tar.gz Windows32: RTAQ.zip The latest version of the package can be found on r-forge under the TradeAnalytics project: http://r-forge.r-project.org/R/?group_id=316 or to install directly in R: `install.packages("RTAQ", repos="http://R-Forge.R-project.org")` Note: This package is still under development !
	News
	2010-24-11: Major package update: Some functionnames were changed (!). Interesting additional functions: refreshTime: aggregation of a price series by refresh time tqLiquidity: wrapper function to calculation of various liquidity measures spotVol: estimation of spot volatility and intraday periodicity pattern ..
	A short introduction to the package

	Future additions to RTAQ
	Jump detection High Frequency object Faster data loading using indexing ... What you would like us to work on? or would you like to contribute?
	Contact the authors
	Jonathan Cornelissen Kris Boudt