TAQMNGR

Manage Tick-by-Tick Transaction Data

v2018.5-1 · May 19, 2018 · GPL (>= 2)

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) <DOI:10.1016/j.csda.2006.09.030>. Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service, <https://wrds-web.wharton.upenn.edu/wrds/>).

Downloads

240

Last 30 days

18763rd

621

Last 90 days

2.3K

Last year

Trend: +21.2% (30d vs prior 30d)

CRAN Check Status

14 NOTE

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	144.8s
r-devel-linux-x86_64-debian-gcc	NOTE	90.5s
r-devel-linux-x86_64-fedora-clang	NOTE	264.1s
r-devel-linux-x86_64-fedora-gcc	NOTE	237.5s
r-devel-macos-arm64	NOTE	16s
r-devel-windows-x86_64	NOTE	271s
r-oldrel-macos-arm64	NOTE
r-oldrel-macos-x86_64	NOTE	56s
r-oldrel-windows-x86_64	NOTE	234s
r-patched-linux-x86_64	NOTE	123.6s
r-release-linux-x86_64	NOTE	108.9s
r-release-macos-arm64	NOTE
r-release-macos-x86_64	NOTE	50s
r-release-windows-x86_64	NOTE	283s

Check details (16 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Fabrizio Cipollini <cipollini.fabrizio@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Francesco",
                      family = "Calvori",
                      role = "aut"),
               person(given = "Fabrizio",
                      family = "Cipollini",
                      role = c("aut", "cre"),
                      email = "cipollini.fabrizio@gmail.com"),
               person(given = c("Giampiero", "M."),
                      family = "Gallo",
                      role = "aut"),
               person(given = "'gzstream'",
                      family = "authors.",
                      role = "aut"))
as necessary.

NOTE r-devel-linux-x86_64-debian-clang

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-linux-x86_64-debian-gcc

CRAN incoming feasibility

Maintainer: ‘Fabrizio Cipollini <cipollini.fabrizio@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Francesco",
                      family = "Calvori",
                      role = "aut"),
               person(given = "Fabrizio",
                      family = "Cipollini",
                      role = c("aut", "cre"),
                      email = "cipollini.fabrizio@gmail.com"),
               person(given = c("Giampiero", "M."),
                      family = "Gallo",
                      role = "aut"),
               person(given = "'gzstream'",
                      family = "authors.",
                      role = "aut"))
as necessary.

NOTE r-devel-linux-x86_64-debian-gcc

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-linux-x86_64-fedora-clang

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-macos-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-patched-linux-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-linux-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-macos-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^
checkRd: (-1) TAQ-package.Rd:59: Lost braces
    59 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

Check History

NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Fabrizio Cipollini <cipollini.fabrizio@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Francesco",
                      family = "Calvori",
                      role = "aut"),
  
...[truncated]...
erson(given = c("Giampiero", "M."),
                      family = "Gallo",
                      role = "aut"),
               person(given = "'gzstream'",
                      family = "authors.",
                      role = "aut"))
as necessary.

NOTE r-devel-linux-x86_64-debian-gcc

CRAN incoming feasibility

Maintainer: ‘Fabrizio Cipollini <cipollini.fabrizio@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Francesco",
                      family = "Calvori",
                      role = "aut"),
  
...[truncated]...
erson(given = c("Giampiero", "M."),
                      family = "Gallo",
                      role = "aut"),
               person(given = "'gzstream'",
                      family = "authors.",
                      role = "aut"))
as necessary.

NOTE r-devel-linux-x86_64-fedora-clang

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-devel-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-patched-linux-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-linux-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-macos-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-release-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-macos-arm64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-macos-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

NOTE r-oldrel-windows-x86_64

Rd files

checkRd: (-1) TAQ-functions.Rd:119: Lost braces
   119 | Brownlees, C. T., and Gallo, G. M. (2006). Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--
...[truncated]...
. Financial Econometric Analysis at Ultra{--}High Frequency: Data Handling Concerns, \emph{Computational Statistics and Data Analysis} \bold{51}, 2232--2245.
       |                                                                                   ^

Version History

new 2018.5-1 Mar 10, 2026

updated 2018.5-1 ← 2016.12-1 diff May 19, 2018

updated 2016.12-1 ← 2015.2-1 diff Jan 9, 2017

new 2015.2-1 Feb 21, 2015