TAQMNGR: Manage Tick-by-Tick Transaction Data

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) <doi:10.1016/j.csda.2006.09.030>. Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service, <https://wrds-web.wharton.upenn.edu/wrds/>).

Version: 2016.12-1
Depends: R (≥ 3.0-2)
LinkingTo: Rcpp (≥ 0.11.0)
Published: 2017-01-10
Author: Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors.
Maintainer: Fabrizio Cipollini <cipollini.fabrizio at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://cran.r-project.org/package=TAQMNGR
NeedsCompilation: yes
SystemRequirements: zlib headers and library
Materials: ChangeLog
In views: Finance
CRAN checks: TAQMNGR results

Downloads:

Reference manual: TAQMNGR.pdf
Package source: TAQMNGR_2016.12-1.tar.gz
Windows binaries: r-devel: TAQMNGR_2016.12-1.zip, r-release: TAQMNGR_2016.12-1.zip, r-oldrel: TAQMNGR_2016.12-1.zip
OS X El Capitan binaries: r-release: TAQMNGR_2016.12-1.tgz
OS X Mavericks binaries: r-oldrel: TAQMNGR_2016.12-1.tgz
Old sources: TAQMNGR archive

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