TAQMNGR (2016.12-1)

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, ).

Maintainer: Fabrizio Cipollini
Author(s): Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo and 'gzstream' authors.

License: GPL (>= 2)

Uses: Does not use any package

Released almost 3 years ago.