TAQ-package: TAQ Manager

In TAQMNGR: Manage Tick-by-Tick Transaction Data

Description

The package manages tick-by-tick transaction data, performing cleaning, aggregation and import.

Details

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 C++).
Cleaning and Aggregation are performed according to Brownlees and Gallo (2006).

Package:	TAQMNGR
Type:	Package
Version:	2015.2-1
Date:	2015-02-21
License:	GPL (>= 2)

Note

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/').

Author(s)

Francesco Calvori <[e-mail]>,

Fabrizio Cipollini <[e-mail]>,

Giampiero M. Gallo <[e-mail]>.

Maintainer: <[e-mail]>

References

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.

TAQMNGR documentation built on May 2, 2019, 2:34 a.m.