TAQMNGR: Manage tick-by-tick transaction data

TAQMNGR 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). Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service).

Version: 2014.01-2
Depends: R (≥ 3.0-0)
LinkingTo: Rcpp
Published: 2014-01-28
Author: Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo
Maintainer: Francesco Calvori <francesco.calvori at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.r-project.org
NeedsCompilation: yes
Materials: ChangeLog
In views: Finance
CRAN checks: TAQMNGR results

Downloads:

Reference manual: TAQMNGR.pdf
Package source: TAQMNGR_2014.01-2.tar.gz
Windows binaries: r-devel: TAQMNGR_2014.01-2.zip, r-release: TAQMNGR_2014.01-2.zip, r-oldrel: TAQMNGR_2014.01-2.zip
OS X Snow Leopard binaries: r-release: TAQMNGR_2014.01-2.tgz, r-oldrel: TAQMNGR_2014.01-2.tgz
OS X Mavericks binaries: r-release: TAQMNGR_2014.01-2.tgz
Old sources: TAQMNGR archive