obAnalytics: Limit Order Book Analytics
Version 0.1.1

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

AuthorPhilip Stubbings
Date of publication2016-11-11 17:26:37
MaintainerPhilip Stubbings <phil@parasec.net>
LicenseGPL (>= 2)
Version0.1.1
URL https://github.com/phil8192/ob-analytics
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("obAnalytics")

Getting started

Package overview
README.md
obAnalytics Guide

Popular man pages

loadEventData: Read raw limit order event data from a CSV file.
lob.data: Example limit order book data.
orderAggressiveness: Calculate order aggressiveness with respect to best bid or...
plotTrades: plotTrades.
saveData: Save processed data.
sMatrix: Similarity matrix.
trades: Trades.
See all...

All man pages Function index File listing

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.

Functions

alignS Man page Source code
depth Man page
depth.summary Man page
depthMetrics Man page Source code
eventMatch Man page Source code
events Man page
filterDepth Man page Source code
getSpread Man page Source code
intervalPriceLevelGaps Source code
intervalSumBreaks Source code
intervalVwap Source code
loadData Man page Source code
loadEventData Man page Source code
lob.data Man page
matchTrades Man page Source code
norml Source code
obAnalytics Man page
obAnalytics-package Man page
onAttach Source code
onLoad Source code
orderAggressiveness Man page Source code
orderBook Man page Source code
plotCurrentDepth Man page Source code
plotEventMap Man page Source code
plotEventsHistogram Man page Source code
plotPriceLevels Man page Source code
plotPriceLevelsFaster Man page Source code
plotTimeSeries Man page Source code
plotTrades Man page Source code
plotVolumeMap Man page Source code
plotVolumePercentiles Man page Source code
priceLevelVolume Man page Source code
processData Man page Source code
reverseMatrix Source code
sMatrix Man page Source code
saveData Man page Source code
setOrderTypes Man page Source code
themeBlack Man page Source code
toZoo Source code
tradeImpacts Man page Source code
trades Man page
vectorDiff Source code
vwap Source code

Files

inst
inst/extdata
inst/extdata/parse.sh
inst/extdata/orders.csv.xz
inst/extdata/2015-05-01.log.xz
inst/doc
inst/doc/guide.Rmd
inst/doc/guide.R
inst/doc/guide.html
tests
tests/testthat.R
tests/testthat
tests/testthat/test-event-match.R
NAMESPACE
data
data/lob.data.RData
R
R/needleman-wunsch.R
R/order-book-reconstruction.R
R/matching-engine.R
R/depth.R
R/order-types.R
R/data.R
R/ob-analytics.R
R/event-processing.R
R/auxiliary.R
R/trades.R
R/visualisation.R
R/zzz.R
vignettes
vignettes/guide.Rmd
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/trades.Rd
man/matchTrades.Rd
man/depthMetrics.Rd
man/setOrderTypes.Rd
man/plotVolumeMap.Rd
man/orderAggressiveness.Rd
man/depth.Rd
man/loadData.Rd
man/priceLevelVolume.Rd
man/obAnalytics-package.Rd
man/getSpread.Rd
man/themeBlack.Rd
man/alignS.Rd
man/depth.summary.Rd
man/tradeImpacts.Rd
man/filterDepth.Rd
man/lob.data.Rd
man/plotPriceLevels.Rd
man/plotPriceLevelsFaster.Rd
man/processData.Rd
man/plotEventMap.Rd
man/plotVolumePercentiles.Rd
man/loadEventData.Rd
man/sMatrix.Rd
man/saveData.Rd
man/eventMatch.Rd
man/plotCurrentDepth.Rd
man/plotTrades.Rd
man/plotTimeSeries.Rd
man/events.Rd
man/orderBook.Rd
man/plotEventsHistogram.Rd
obAnalytics documentation built on May 19, 2017, 7:16 a.m.

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