hf_data: High frequency data sets

In algoquant/HighFreq: High Frequency Time Series Management

High frequency data sets

Description

hf_data.RData is a file containing the datasets:

SPY

an xts time series containing 1-minute OHLC bar data for the SPY etf, from 2008-01-02 to 2014-05-19. SPY contains 625,425 rows of data, each row contains a single minute bar.

TLT

an xts time series containing 1-minute OHLC bar data for the TLT etf, up to 2014-05-19.

VXX

an xts time series containing 1-minute OHLC bar data for the VXX etf, up to 2014-05-19.

Usage

data(hf_data)  # not required - data is lazy load

Format

Each xts time series contains OHLC data, with each row containing a single minute bar:

Open

Open price in the bar

High

High price in the bar

Low

Low price in the bar

Close

Close price in the bar

Volume

trading volume in the bar

Source

https://wrds-web.wharton.upenn.edu/wrds/

References

Wharton Research Data Service (WRDS)

Examples

# data(hf_data)  # not required - data is lazy load
head(SPY)
chart_Series(x=SPY["2009"])

algoquant/HighFreq documentation built on June 10, 2025, 3:54 p.m.