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


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install.packages("TAQMNGR")

2018.5-1 by Fabrizio Cipollini, a year ago


https://cran.r-project.org/package=TAQMNGR


Browse source code at https://github.com/cran/TAQMNGR


Authors: Francesco Calvori , Fabrizio Cipollini , Giampiero M. Gallo and 'gzstream' authors.


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Linking to Rcpp

System requirements: zlib headers and library


See at CRAN