Download and Aggregate High Frequency Trading Data from Bovespa


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Documentation for package ‘GetHFData’ version 1.6

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add.order Adds an order to the LOB
ghfd_build_lob Building LOB (limit order book) from orders
ghfd_download_file Downloads a single file from Bovespa ftp
ghfd_get_available_tickers_from_file Function to get available tickers from downloaded zip file
ghfd_get_available_tickers_from_ftp Function to get available tickers from ftp
ghfd_get_ftp_contents Gets the contents of Bovespa ftp
ghfd_get_HF_data Downloads and aggregates high frequency trading data directly from the Bovespa ftp
ghfd_read_file Reads zip file downloaded from Bovespa ftp (trades or orders)
ghfd_read_file.orders Reads zip file downloaded from Bovespa ftp (orders) - INTERNAL USE
ghfd_read_file.trades Reads zip file downloaded from Bovespa ftp (trades) - INTERNAL USE
organize.lob Organizes LOB (internal function)
print.lob Prints the LOB
process.lob.from.df Process LOB from asset dataframe