[R-SIG-Finance] taq high-frequency data

[Brian G. Peterson]

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