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). Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service).
| Version: |
2015.2-1 |
| Depends: |
R (≥ 3.0-2) |
| LinkingTo: |
Rcpp (≥ 0.11.0) |
| Published: |
2015-02-22 |
| 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: |
http://www.r-project.org |
| NeedsCompilation: |
yes |
| SystemRequirements: |
zlib headers and library |
| Materials: |
ChangeLog |
| In views: |
Finance |
| CRAN checks: |
TAQMNGR results |
Downloads: