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.

NOTE: The RTAQ package is deprecated. Please use the updated and the improved version:
The Highfrequency package.

More information about the highfrequency R package.

In a couple of months, you'll be able to find
an interactive R tutorial for the new highfrequency package here.