Manage Tick-by-Tick Transaction Data

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, <>).


Reference manual

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2018.5-1 by Fabrizio Cipollini, 3 years ago

Browse source code at

Authors: Francesco Calvori , Fabrizio Cipollini , Giampiero M. Gallo and 'gzstream' authors.

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Linking to Rcpp

System requirements: zlib headers and library

See at CRAN