| TAQMNGR {TAQMNGR} | R Documentation |
TAQ Manager
Description
The package manages tick-by-tick transaction data, performing cleaning, aggregation and import.
Details
The package manages tick-by-tick transaction data, performing cleaning, aggregation and import in an efficient and fast way (the package engine is developed in C++).
Cleaning and Aggregation are performed according to Brownlees and Gallo (2006).
| Package: | TAQMNGR |
| Type: | Package |
| Version: | 2015.2-1 |
| Date: | 2015-02-21 |
| License: | GPL (>= 2) |
Note
Currently, the package processes raw data from WRDS (Wharton Research Data Service).
They have to satisfy the following requirements:
all fields have to be included (select the '
Check All' button at the WRDS downloading page);
select the fixed-width text and '
G zip' as output format and compression type, respectively, at the WRDS downloading page.
An example with fake raw data can be downloaded at http://local.disia.unifi.it/cipollini/webpage-new/data/data_sample.txt.gz.
The package uses the following libraries: 'Gzstream' (available at 'http://www.cs.unc.edu/Research/compgeom/gzstream/' under LGPL license), and 'zlib' (freely available at 'http://www.zlib.net/').
Author(s)
Francesco Calvori <francesco.calvori@gmail.com>,
Fabrizio Cipollini <cipollini.fabrizio@gmail.com>,
Giampiero M. Gallo <giampiero.gallo@gmail.com>.
Maintainer: <fabrizio.cipollini@gmail.com>
References
Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Computational Statistics and Data Analysis 51, 2232–2245.