high frequency data analysis in R

High-frequency is not my specialty either, but a quote caught my attention:

My data are price change arrivals, irregularly spaced. But when there
is no price change, the price stays constant. Therefore, in fact, at
any time instant, you give me a time, I can give you the price at that
very instant of time. So irregularly spaced data can be easily sampled
to be regularly spaced data.

From a trader's perspective, you do not have "the price" at any time

outside of the instant a trade took place - you have NBBO (and market
depth). Last trade's price may or may not be transactable again on
either long or short side.

You can alternatively say that you have an instanteneous "mid-market
price" and a bid/ask spread to work with.

Correct me if I'm wrong - I'd like to know how people in HF really
look at their data.

-- ET.