GetQueueLength: Retrieve Length of Quening Orders at Given Price

In TickExec: Execution Functions for Tick Data Back Test

Description

Buy order should queue at bid prices, while sell order should queue at ask prices.

Usage

GetQueueLength(dir = dir, date, orderTime, ticker, limitPrice, CALL, 
               position = 1, market = 'SHSZ')

Arguments

dir	The directory containing the Tick data.
date	date of the tick data.
orderTime	timestamp of the order queue.
ticker	ticker of the tick data.
limitPrice	the price level of the queue.
CALL	sell order or buy order.
position	position is between 0 and 1, indicating the relative position of the current order in the queue.
market	specifying the sub-function to call depending on the market.

Value

An integer indicating the queue length, or 0 if no entry satisfy the given conditions.

TickExec documentation built on May 2, 2019, 9:58 a.m.