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/>).

AuthorFrancesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors.
Date of publication2017-01-10 10:55:42
MaintainerFabrizio Cipollini <cipollini.fabrizio@gmail.com>
LicenseGPL (>= 2)
Version2016.12-1
https://cran.r-project.org/package=TAQMNGR

View on CRAN

Files in this package

TAQMNGR
TAQMNGR/src
TAQMNGR/src/itoa.cpp
TAQMNGR/src/orario.cpp
TAQMNGR/src/Makevars
TAQMNGR/src/lista_file_to_be_aggregated.cpp
TAQMNGR/src/needed_list.cpp
TAQMNGR/src/create_directory.cpp
TAQMNGR/src/lista_to_import.cpp
TAQMNGR/src/bubsort_cleaning_report.cpp
TAQMNGR/src/clean_trade.cpp
TAQMNGR/src/import_trades.cpp
TAQMNGR/src/trstdev.cpp
TAQMNGR/src/lista_file.cpp
TAQMNGR/src/bubsort.cpp
TAQMNGR/src/clean_trades.cpp
TAQMNGR/src/taq.h
TAQMNGR/src/taq_aggregate.h
TAQMNGR/src/taq_import.h
TAQMNGR/src/conteggio.cpp
TAQMNGR/src/emp_erase_dir.cpp
TAQMNGR/src/clean_trade_ms.cpp
TAQMNGR/src/gzipdec.cpp
TAQMNGR/src/aggregate_trade.cpp
TAQMNGR/src/bubsort_deldouble.cpp
TAQMNGR/src/time_stamp.cpp
TAQMNGR/src/aggregate_trades.cpp
TAQMNGR/src/create_log.cpp
TAQMNGR/src/gzstream.cpp
TAQMNGR/src/gzstream.h
TAQMNGR/src/check_deleted.cpp
TAQMNGR/src/resort.cpp
TAQMNGR/src/gzipdec_ms.cpp
TAQMNGR/src/cleaning_report.cpp
TAQMNGR/src/lista_conf_file.cpp
TAQMNGR/src/verifica_dir.cpp
TAQMNGR/src/control_input.cpp
TAQMNGR/src/is_quote.cpp
TAQMNGR/src/hide_file.cpp
TAQMNGR/NAMESPACE
TAQMNGR/R
TAQMNGR/R/TAQ-functions.R TAQMNGR/R/zzz.R
TAQMNGR/MD5
TAQMNGR/DESCRIPTION
TAQMNGR/ChangeLog
TAQMNGR/man
TAQMNGR/man/TAQ-package.Rd TAQMNGR/man/TAQ-functions.Rd

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