CRAN

TAQMNGR 2018.5-1

Manage Tick-by-Tick Transaction Data

Released May 20, 2018 by Fabrizio Cipollini

This package is available for Renjin and there are no known compatibility issues.

Dependencies

Rcpp

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, ).

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>TAQMNGR</artifactId>
    <version>2018.5-1-b2</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:TAQMNGR')

Test Results

This package was last tested against Renjin 0.9.2687 on Aug 24, 2018.

Source

R
C
C++

View GitHub Mirror

Release History