TAQ Manager

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 <francesco.calvori@gmail.com>,

Fabrizio Cipollini <cipollini.fabrizio@gmail.com>,

Giampiero M. Gallo <giampiero.gallo@gmail.com>.

Maintainer: <fabrizio.cipollini@gmail.com>

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.

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