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:	2018.5-1
Depends:	R (≥ 3.0-2)
LinkingTo:	Rcpp (≥ 0.11.0)
Published:	2018-05-20
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

Documentation:

Reference manual:

TAQMNGR.pdf

Downloads:

Package source:	TAQMNGR_2018.5-1.tar.gz
Windows binaries:	r-devel: TAQMNGR_2018.5-1.zip, r-release: TAQMNGR_2018.5-1.zip, r-oldrel: TAQMNGR_2018.5-1.zip
macOS binaries:	r-release (arm64): TAQMNGR_2018.5-1.tgz, r-oldrel (arm64): TAQMNGR_2018.5-1.tgz, r-release (x86_64): TAQMNGR_2018.5-1.tgz, r-oldrel (x86_64): TAQMNGR_2018.5-1.tgz
Old sources:	TAQMNGR archive

Linking:

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