Description Usage Arguments Author(s) Examples
Load AlgoSeek Equity TAQ data from zip files
1 | read_algoseek_equity_taq(zipdata, whichData = NULL)
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zipdata |
the original zip data provided by AlgoSeek |
whichData |
the specific data to be loaded; by default load all data in the zip file |
Larry Lei Hua
1 2 3 4 5 6 | zipdata <- tempfile()
download.file("https://www.algoseek.com/static/files/sample_data/equity_and_etf_etn/IBM.TradesQuotes.012815.zip",zipdata)
dat <- read_algoseek_equity_taq(zipdata)
# Do not run unless the file 20180108.zip is avaliable
# dat <- read_algoseek_equity_taq("20180108.zip", whichData="AMZN.csv")
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