algoquant / highfreq Goto Github PK

Installation status:  TRUE . Removing the file:
 C:\Users\scibr\AppData\Local\Temp\RtmpUVvpQn/Rtools35.exe 
 (In the future, you may keep the file by setting keep_install_file=TRUE) 
> devtools::install_github('algoquant/HighFreq', force=TRUE)
Downloading GitHub repo algoquant/HighFreq@master
from URL https://api.github.com/repos/algoquant/HighFreq/zipball/master
WARNING: Rtools is required to build R packages, but no version of Rtools compatible with R 3.5.1 was found. (Only the following incompatible version(s) of Rtools were found:3.3,3.4,3.5)

Please download and install the appropriate version of Rtools from http://cran.r-project.org/bin/windows/Rtools/.
Installation failed: Could not find build tools necessary to build HighFreq

I wondered why I had just installed latest version RTools35.exe, installation of other packages working fine.

I am super interested in this package, what's holding it from being registered at CRAN?

Hi, I am trying to install on Windows 10 machine using R-4.2.1 / Rtools42 / RStudio. R-4.2.1 is installed at C:\RQuant\RCore\R-4.2.1 and Rtools42 is installed at C:\RQuant\Rtools\rtools42.

But it happend such error:
_**

Error: package or namespace load failed for 'HighFreq' in inDL(x, as.logical(local), as.logical(now), ...):
unable to load shared object 'C:/RQuant/RCore/R-4.2.1/library/00LOCK-HighFreq/00new/HighFreq/libs/x64/HighFreq.dll':
LoadLibrary failure:

**_

I really appreciate your great work and this package can help me a lot when dealing with high frequency data.

I find this R package very interesting. Have you considered adding jump tests such as the Lee and Mykland test?

Firstly, I appreciate all the hard work and thought that went into creating this HighFreq package. The package is intriguing, but I have had significant trouble getting it to install on my Windows machine. I am posting as I may not be the only one encountering these difficulties, and hope the post will generate useful guidance that will benefit many.

As referenced in the subject, I am trying to install on Windows machine using R-4.2.1 / Rtools42 / RStudio. Rtools42 is installed at C:\rtools42.

Per the Vignette, I successfully ran install.packages("remotes"), but problem occurs during install via remotes::install_github("algoquant/HighFreq").

Per README, I also ran via install.packages("devtools"), but install again similarly failed via devtools::install_github(repo="algoquant/HighFreq").

The errors point to "undefined reference to [various files]", like ddot_', dsyev_', `dgesvd_', etc., as illustrated via the final error text copied below:

C:\rtools42\x86_64-w64-mingw32.static.posix\bin/ld.exe: HighFreq.o:HighFreq.cpp:(.text$_ZN4arma6auxlib8svd_econIdEEbRNS_3MatIT_EERNS_3ColIS3_EES5_S5_c[ZN4arma6auxlib8svd_econIdEEbRNS_3MatIT_EERNS_3ColIS3_EES5_S5_c]+0x431): undefined reference to `dgesvd'

collect2.exe: error: ld returned 1 exit status
no DLL was created
ERROR: compilation failed for package 'HighFreq'

• removing 'C:/Program Files/R/R-4.2.1/library/HighFreq'

For what it's worth (I am not a computer science guy), I also ran the below as a result of my independent search for a solution, but have done nothing to change or "set" any particular path or environment:

Sys.getenv("HOME")

[1] "C:/Users/Administrator/Documents"

Sys.getenv("PATH")

[1] "C:\Rtools\bin;C:\rtools42\x86_64-w64-mingw32.static.posix\bin;C:\rtools42\usr\bin;C:\Program Files\R\R-4.2.1\bin\x64;C:\Windows\System32;C:\Windows;C:\Windows\System32\wbem;C:\Windows\System32\WindowsPowerShell\v1.0;C:\Windows\System32\OpenSSH;C:\Program Files (x86)\Common Files\Intuit\QBPOSSDKRuntime;C:\Program Files (x86)\ExchangeMapi;C:\Users\Administrator\AppData\Local\Microsoft\WindowsApps;;C:\Program Files\RStudio\bin\quarto\bin"

Any guidance is greatly appreciated. Thank you.

This technically is not an issue but I couldn't find a better place to ask this question...

Why use WRDS as the reference data source for TAQ data? as far as I can see the TAQ data format of WRDS looks to be very different from what we can get from a commercial data source (Polygon.io, IQFEED, or InteractiveBroker, to name a few robust retail data sources); these retail data sources typically give you both BidExchange and AskExchange in quote data whereas WRDS only contains one column called Exchange for quote data.

I am asking because isn't this package created for real-world analysis and WRDS looks more like an academic data source? It's very likely I missed something here, it'd be great if you could shed some light on this.

Thanks very much!