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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 |
| Reference manual: | TAQMNGR.pdf |
| 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 |
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.