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, ).