I’m looking forward to attending R in Finance conference in Chicago, next friday (2017-05-09). The program looks great! I am really happy, and a bit surprised, to see so many presentations related to market microstructure in the conference.
I will talk about my package GetHFData in the first session. This is a package for downloading and aggregating trade data from Bovespa, the Brazilian exchange. More details are available in RBFIN.