GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa

Abstract

This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian nancial market. Based on a set of user choices, the package GetHFData will download the required les directly from Bovespa's site and aggregate the nancial data. The main objective of the publication of this software is to facilitate the computational e ort related to research based on this large nancial 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.