The package manages tick-by-tick transaction data, performing cleaning, aggregation and import.
The package manages tick-by-tick transaction data, performing cleaning, aggregation and import in an efficient and fast way (the package engine is developed in
Cleaning and Aggregation are performed according to Brownlees and Gallo (2006).
|License:||GPL (>= 2)|
Currently, the package processes raw data from WRDS (Wharton Research Data Service).
They have to satisfy the following requirements:
all fields have to be included (select the '
Check All' button at the WRDS downloading page);
select the fixed-width text and '
G zip' as output format and compression type, respectively, at the WRDS downloading page.
An example with fake raw data can be downloaded at http://local.disia.unifi.it/cipollini/webpage-new/data/data_sample.txt.gz.
The package uses the following libraries: 'Gzstream' (available at 'http://www.cs.unc.edu/Research/compgeom/gzstream/' under LGPL license), and 'zlib' (freely available at 'http://www.zlib.net/').
Francesco Calvori <email@example.com>,
Fabrizio Cipollini <firstname.lastname@example.org>,
Giampiero M. Gallo <email@example.com>.
Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Computational Statistics and Data Analysis 51, 2232–2245.