obAnalytics: Limit Order Book Analytics

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
https://github.com/phil8192/ob-analytics

View on CRAN

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.