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

Package details

AuthorFrancesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors.
MaintainerFabrizio Cipollini <cipollini.fabrizio@gmail.com>
LicenseGPL (>= 2)
URL https://cran.r-project.org/package=TAQMNGR
Package repositoryView on CRAN
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TAQMNGR documentation built on May 2, 2019, 2:34 a.m.