obAnalytics: Limit Order Book Analytics

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Data processing, visualisation and analysis of Limit Order Book event data.

Author
Philip Stubbings
Date of publication
2016-11-11 17:26:37
Maintainer
Philip Stubbings <phil@parasec.net>
License
GPL (>= 2)
Version
0.1.1
URLs

View on CRAN

Man pages

alignS
Align 2 sequences.
depth
Depth.
depthMetrics
Calculate order book summary statistics/metrics.
depth.summary
Depth summary.
eventMatch
Match Market Orders (takers) to Limit Orders (makers).
events
Limit order events.
filterDepth
Filter price level volume.
getSpread
Get the spread.
loadData
Load pre-processed data.
loadEventData
Read raw limit order event data from a CSV file.
lob.data
Example limit order book data.
matchTrades
Construct trades data.table.
obAnalytics-package
obAnalytics.
orderAggressiveness
Calculate order aggressiveness with respect to best bid or...
orderBook
Instantaneous limit order book reconstruction.
plotCurrentDepth
Visualise order book depth at any given point in time.
plotEventMap
Plot limit order event map.
plotEventsHistogram
Plot a histogram given event data.
plotPriceLevels
Plot order book price level heat map.
plotPriceLevelsFaster
Poor man's heatmap.
plotTimeSeries
General purpose time series plot.
plotTrades
plotTrades.
plotVolumeMap
Visualise flashed-limit order volume.
plotVolumePercentiles
Visualise available limit order book liquidity through time.
priceLevelVolume
Calculate priceLevelVolume (depth).
processData
Import CSV file.
saveData
Save processed data.
setOrderTypes
Determine limit order types.
sMatrix
Similarity matrix.
themeBlack
Black theme.
tradeImpacts
Trade impacts.
trades
Trades.

Files in this package

obAnalytics
obAnalytics/inst
obAnalytics/inst/extdata
obAnalytics/inst/extdata/parse.sh
obAnalytics/inst/extdata/orders.csv.xz
obAnalytics/inst/extdata/2015-05-01.log.xz
obAnalytics/inst/doc
obAnalytics/inst/doc/guide.Rmd
obAnalytics/inst/doc/guide.R
obAnalytics/inst/doc/guide.html
obAnalytics/tests
obAnalytics/tests/testthat.R
obAnalytics/tests/testthat
obAnalytics/tests/testthat/test-event-match.R
obAnalytics/NAMESPACE
obAnalytics/data
obAnalytics/data/lob.data.RData
obAnalytics/R
obAnalytics/R/needleman-wunsch.R
obAnalytics/R/order-book-reconstruction.R
obAnalytics/R/matching-engine.R
obAnalytics/R/depth.R
obAnalytics/R/order-types.R
obAnalytics/R/data.R
obAnalytics/R/ob-analytics.R
obAnalytics/R/event-processing.R
obAnalytics/R/auxiliary.R
obAnalytics/R/trades.R
obAnalytics/R/visualisation.R
obAnalytics/R/zzz.R
obAnalytics/vignettes
obAnalytics/vignettes/guide.Rmd
obAnalytics/README.md
obAnalytics/MD5
obAnalytics/build
obAnalytics/build/vignette.rds
obAnalytics/DESCRIPTION
obAnalytics/man
obAnalytics/man/trades.Rd
obAnalytics/man/matchTrades.Rd
obAnalytics/man/depthMetrics.Rd
obAnalytics/man/setOrderTypes.Rd
obAnalytics/man/plotVolumeMap.Rd
obAnalytics/man/orderAggressiveness.Rd
obAnalytics/man/depth.Rd
obAnalytics/man/loadData.Rd
obAnalytics/man/priceLevelVolume.Rd
obAnalytics/man/obAnalytics-package.Rd
obAnalytics/man/getSpread.Rd
obAnalytics/man/themeBlack.Rd
obAnalytics/man/alignS.Rd
obAnalytics/man/depth.summary.Rd
obAnalytics/man/tradeImpacts.Rd
obAnalytics/man/filterDepth.Rd
obAnalytics/man/lob.data.Rd
obAnalytics/man/plotPriceLevels.Rd
obAnalytics/man/plotPriceLevelsFaster.Rd
obAnalytics/man/processData.Rd
obAnalytics/man/plotEventMap.Rd
obAnalytics/man/plotVolumePercentiles.Rd
obAnalytics/man/loadEventData.Rd
obAnalytics/man/sMatrix.Rd
obAnalytics/man/saveData.Rd
obAnalytics/man/eventMatch.Rd
obAnalytics/man/plotCurrentDepth.Rd
obAnalytics/man/plotTrades.Rd
obAnalytics/man/plotTimeSeries.Rd
obAnalytics/man/events.Rd
obAnalytics/man/orderBook.Rd
obAnalytics/man/plotEventsHistogram.Rd