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.  
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  Recent documented versions of the package:

The latest version of the package can be found on r-forge under the TradeAnalytics project:

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