Update to GetHFData (Version 1.3)

I just posted a major update to GetHFData. Version 1.3 of GetHFData makes it possible to download and aggregate order data from Bovespa. The data comprises buy and sell orders sent by market operators. Tabular data includes type of orders (buy or sell, new/update/cancel/..), date/time of submission, priority time, prices,... [Read More]
Tags: R, GetHFData

Looking forward to RFinance - Chicago

I’m looking forward to attending R in Finance conference in Chicago, next friday (2017-05-09). The program looks great! I am really happy, and a bit surprised, to see so many presentations related to market microstructure in the conference. [Read More]
Tags: R, R in finance

Studying CRAN package names

Setting a name for a CRAN package is an intimate process. Out of an infinite range of possibilities, an idea comes for a package and you spend at least a couple of days writing up and testing your code before submitting to CRAN. Once you set the name of the... [Read More]
Tags: R, CRAN, package names

My book (pafdR) is out!

I’m pleased to announce that my book, Processing and Analyzing Financial Data with R, is finally ready! The book is a long term project that I always desired to do. It summarises everything that I wish I knew when I started to work with research. I plan on keep working... [Read More]
Tags: R, pafdR