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:

Reference manual: TAQMNGR.pdf
Package source: TAQMNGR_2015.2-1.tar.gz
Windows binaries: r-devel: TAQMNGR_2015.2-1.zip, r-release: TAQMNGR_2015.2-1.zip, r-oldrel: TAQMNGR_2015.2-1.zip
OS X Mavericks binaries: r-release: TAQMNGR_2015.2-1.tgz, r-oldrel: TAQMNGR_2015.2-1.tgz

Linking:

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