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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
DOI: 10.32614/CRAN.package.TAQMNGR
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:

Please use the canonical form https://CRAN.R-project.org/package=TAQMNGR to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.