Message-ID: <4B4BD0F0.5020609@braverock.com>
Date: 2010-01-12T01:31:28Z
From: Brian G. Peterson
Subject: taq high-frequency data
In-Reply-To: <4b5c27441001111535i279f15b0wa4c8595914aa985@mail.gmail.com>
Geoffrey Smith wrote:
> Hello, may I please ask if anyone is aware of any R package that could help
> with cleaning up and processing the high-frequency trade and quote data from
> the NYSE TAQ database? Thank you. Geoff
I see that Scott has posted pointers to several resources that talk about high
frequency data analysis and cleaning.
Kris Boudt and one of his students have created an R package called RTAQ that
does parses, imports, and does analysis on TAQ data.
I've copied Kris, and we'll try to get the code up onto R-Forge or somewhere
else accessible.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock