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For the life of it I can't get this package to work with my own data. Is it essential to use the convert and TAQload to use your own data with this package? I would like to get in touch with someone that got experience with this and got it working. I have sent e-mails to both authors but no reply so far..

cJc
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You do not need to use the convert code in case you have a premeditated setup that provides data into .xts files. Kris Boudt et al (n.d) quote "highfrequency provides functionality to convert raw data from several data providers into xts objects".

Check also this topic for further reference.

Bibliography: Boudt, K., Cornelissen, J. and Payseur, S. (no date) Highfrequency: Toolkit for the analysis of highfrequency financial data in R. Available at: https://r-forge.r-project.org/scm/viewvc.php/checkout/pkg/highfrequency/inst/doc/highfrequency.pdf?revision=37&root=highfrequency&pathrev=38 (Accessed: 14 July 2016).

Community
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Greconomist
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  • Cheers for your answer. I have pulled a lot of hair over this packages and there are a lot of flaws in my opinion, but I guess you can sometimes only expect that someone build a package for they own data/use.. Anyhow, I got it working in the end. – cJc Jul 15 '16 at 05:40
  • Ye I know, also tried to contact the authors two separate times with no success. The examples have to be enriched especially for the convert function as i struggled a lot. These examples to my understanding assume a certain level of familiarity with statistical programming with R. But you can't complain, these guys devoted so many hours to create something that everybody can use for free. – Greconomist Jul 15 '16 at 13:17