TAQMNGR: Manage Tick-by-Tick Transaction Data

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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). Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service).

Author
Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors.
Date of publication
2015-02-22 17:36:15
Maintainer
Fabrizio Cipollini <cipollini.fabrizio@gmail.com>
License
GPL (>= 2)
Version
2015.2-1
URLs

View on CRAN

Man pages

TAQ-functions
TAQ Manager
TAQ-package
TAQ Manager

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/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/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