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 |
| 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: TAQMNGR_2018.5-1.tgz, r-oldrel: 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.