Dear R users
Some days ago we released the package 'TAQMNGR'.
The package manages tick-by-tick transaction data, performing 'cleaning',
'aggregation' and 'import' in an efficient and fast way (the package engine
is in C++). Cleaning and Aggregation are performed according to Brownlees
and Gallo (2006).
Currently, the package processes raw data from WRDS (Wharton Research Data
Service -- See help(TAQMNGR) for more details on the data format).
In comparison with packages performing similar tasks, there is no
limitation in the length of the time period, the number of tickers or the
number of files processed and there is no need to adjust raw data (for
example uncompressing or splitting files).
Dipartimento di Statistica, Informatica e Applicazioni (DISIA) 'G. Parenti'
viale Morgagni 59, 50134, Firenze
tel: (+39) 055 2751592
fax: (+39) 055 4223560