TAQMNGR

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/).

Last 30 days

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Last 365 days

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