TAQMNGR: Manage Tick-by-Tick Transaction Data
Version 2016.12-1

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, ).

Browse man pages Browse package API and functions Browse package files

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
URL https://cran.r-project.org/package=TAQMNGR
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("TAQMNGR")

Getting started

Man pages

TAQ-functions: TAQ Manager
TAQ-package: TAQ Manager

Functions

TAQ.Aggregate Man page Source code
TAQ.CleanTickByTick Man page Source code
TAQ.Read Man page Source code
TAQ.Report Man page Source code
TAQMNGR Man page
ast.lib Source code
onAttach Source code
onLoad Source code
onUnload Source code
package.name Source code
sanitize.dirname Source code

Files

src
src/itoa.cpp
src/orario.cpp
src/Makevars
src/lista_file_to_be_aggregated.cpp
src/needed_list.cpp
src/create_directory.cpp
src/lista_to_import.cpp
src/bubsort_cleaning_report.cpp
src/clean_trade.cpp
src/import_trades.cpp
src/trstdev.cpp
src/lista_file.cpp
src/bubsort.cpp
src/clean_trades.cpp
src/taq.h
src/taq_aggregate.h
src/taq_import.h
src/conteggio.cpp
src/emp_erase_dir.cpp
src/clean_trade_ms.cpp
src/gzipdec.cpp
src/aggregate_trade.cpp
src/bubsort_deldouble.cpp
src/time_stamp.cpp
src/aggregate_trades.cpp
src/create_log.cpp
src/gzstream.cpp
src/gzstream.h
src/check_deleted.cpp
src/resort.cpp
src/gzipdec_ms.cpp
src/cleaning_report.cpp
src/lista_conf_file.cpp
src/verifica_dir.cpp
src/control_input.cpp
src/is_quote.cpp
src/hide_file.cpp
NAMESPACE
R
R/TAQ-functions.R
R/zzz.R
MD5
DESCRIPTION
ChangeLog
man
man/TAQ-package.Rd
man/TAQ-functions.Rd
TAQMNGR documentation built on May 19, 2017, 8:28 a.m.