TAQMNGR (version 2018.5-1)
Manage Tick-by-Tick Transaction Data
Description
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, ).