Package 'TAQMNGR'

TAQ Manager

Description

Manage tick-by-tick transaction data

Usage

TAQ.CleanTickByTick(dirInput, dirOutput, 
  
    window = 80, deltaTrimmed = 0.10, granularity = 0.04, useCleaned = TRUE)
  
  TAQ.Aggregate(dirInput, symbol, bin, useAggregated = TRUE)
  
  TAQ.Report(dirInput, symbol)

  TAQ.Read(dirInput, symbol, import = NULL, startDate, endDate, bin)

Arguments

dirInput	A character scalar: the input directory. For the function CleanTickByTick(), dirInput is the name of the folder containing the raw data files. In this case it is important that dirInput includes only .gz files to be cleaned. For the remaining functions, dirInput is the name of the folder including the previously cleaned/aggregated data (appearing as dirOutput in the function CleanTickByTick()).
dirOutput	A character scalar: the output directory. It must be different from dirInput.
window	A numeric integer scalar: the window size for the trimming procedure of data clean (see Details).
deltaTrimmed	A numeric scalar into $(0,1)$: the trimming proportion (see Details).
granularity	A numeric positive scalar: the granularity parameter (see Details).
useCleaned	A logical scalar: if TRUE, previously cleaned files (if any) are not cleaned again.
useAggregated	A logical scalar: if TRUE, previously aggregated data (if any) are not aggregated again.
symbol	A character (vector in TAQ.Aggregate(); scalar in TAQ.Report() and TAQ.Read()): the ticker symbols of interest.
startDate	A numeric integer scalar: the start date in the yyyymmdd format.
endDate	A numeric integer scalar: the end date in the yyyymmdd format.
bin	A numeric integer scalar: the bin size (in seconds) for aggregating data.
import	A character: the list of fields to be imported. One or more among: "FIRST": First price in the bin. "MIN": Min price in the bin. "MAX": Max price in the bin. "LAST": Last price in the bin. "SIZE": First price in the bin. "#TRADES": Number of trades in the bin. "VWAP": Volume Weighted Average Price in the bin. If NULL, all fields are imported.

Details

The meaning of the arguments window, deltaTrimmed, and granularity is detailed in the reference below.

References

Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Computational Statistics and Data Analysis 51, 2232–2245.

Examples

#### A fake dataset for running the example can be downloaded at 
  #### 'http://local.disia.unifi.it/cipollini/webpage-new/data/data_sample.txt.gz' 
  ## Input
  # dirInput  <- "path of the input folder" 
  # dirOutput <- "path of the output folder" ## Must be different from 'dirInput' 
  ## Clean
  # TAQ.CleanTickByTick(dirInput = dirInput, dirOutput = dirInput)
  ## Make the report (1 at a time)
  # TAQ.Report(dirInput = dirOutput, symbol = c("DOG")) ## A scalar symbol
  # TAQ.Report(dirInput = dirOutput, symbol = c("GNU")) ## A scalar symbol
  ## Aggregate
  # TAQ.Aggregate(dirInput = dirOutput, symbol = c("DOG", "GNU"), bin = 300, 
  #   useAggregated = TRUE)
  ## Import data
  # dog <- TAQ.Read(dirInput = dirOutput, symbol = "DOG", 
  #   startDate = 00010101, endDate = 20141231, bin = 300)

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TAQ Manager

Description

The package manages tick-by-tick transaction data, performing cleaning, aggregation and import.

Details

The package manages tick-by-tick transaction data, performing cleaning, aggregation and import in an efficient and fast way (the package engine is developed in C++).
Cleaning and Aggregation are performed according to Brownlees and Gallo (2006).

Package:	TAQMNGR
Type:	Package
Version:	2015.2-1
Date:	2015-02-21
License:	GPL (>= 2)

Note

Currently, the package processes raw data from WRDS (Wharton Research Data Service).
They have to satisfy the following requirements:

• all fields have to be included (select the 'Check All' button at the WRDS downloading page);
  

• select the fixed-width text and 'G zip' as output format and compression type, respectively, at the WRDS downloading page.

An example with fake raw data can be downloaded at http://local.disia.unifi.it/cipollini/webpage-new/data/data_sample.txt.gz.
The package uses the following libraries: 'Gzstream' (available at 'http://www.cs.unc.edu/Research/compgeom/gzstream/' under LGPL license), and 'zlib' (freely available at 'http://www.zlib.net/').

Author(s)

Francesco Calvori <[email protected]>,

Fabrizio Cipollini <[email protected]>,

Giampiero M. Gallo <[email protected]>.

Maintainer: <[email protected]>

References

Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Computational Statistics and Data Analysis 51, 2232–2245.

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