GetHFData: A R Package for Downloading and Aggregating High Frequency Trading Data from Bovespa

33 Pages Posted: 21 Aug 2016 Last revised: 22 Nov 2016

See all articles by Marcelo Perlin

Marcelo Perlin

Escola de Administração - UFRGS

Henrique Ramos

Universidade Federal do Rio Grande do Sul (UFRGS)

Date Written: November 20, 2016

Abstract

This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian financial market. Based on a set of user choices, the package GetHFData will download the required files directly from Bovespa’s ftp site and aggregate the financial data. The main objective of the publication of this software is to facilitate the computational effort related to research based on this large financial dataset and also to increase the reproducibility of studies by setting a replicable standard for data acquisition and processing. In this paper we present the available functions of the software, a brief description of the Brazilian market and several reproducible examples of usage.

Keywords: high frequency data, Bovespa, market microstructure, R, reproducible research

JEL Classification: G10, G30

Suggested Citation

Perlin, Marcelo and Ramos, Henrique, GetHFData: A R Package for Downloading and Aggregating High Frequency Trading Data from Bovespa (November 20, 2016). Available at SSRN: https://ssrn.com/abstract=2824058 or http://dx.doi.org/10.2139/ssrn.2824058

Marcelo Perlin (Contact Author)

Escola de Administração - UFRGS ( email )

Porto-Alegre RS
Brazil

HOME PAGE: http://sites.google.com/site/marceloperlin/

Henrique Ramos

Universidade Federal do Rio Grande do Sul (UFRGS) ( email )

Av. Carlos Gomes 1111
Porto Alegre, Rio Grande do Sul 90480-004
Brazil

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