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TAQMNGR: Manage Tick-by-Tick Transaction Data
Manager of tick-by-tick transaction data that performs 'cleaning', 'aggregation' and 'import' in an efficient and fast way. The package engine, written in C++, exploits the 'zlib' and 'gzstream' libraries to handle gzipped data without need to uncompress them. 'Cleaning' and 'aggregation' are performed according to Brownlees and Gallo (2006) <DOI:10.1016/j.csda.2006.09.030>. Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service, <https://wrds-web.wharton.upenn.edu/wrds/>).
Getting started
Browse package contents
Package details |
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| Author | Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors. |
| Maintainer | Fabrizio Cipollini <cipollini.fabrizio@gmail.com> |
| License | GPL (>= 2) |
| Version | 2018.5-1 |
| URL | https://cran.r-project.org/package=TAQMNGR |
| Package repository | View on CRAN |
| Installation |
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