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

Functions

alignS Man page
depth Man page
depthMetrics Man page
depth.summary Man page
eventMatch Man page
events Man page
filterDepth Man page
getSpread Man page
loadData Man page
loadEventData Man page
lob.data Man page
matchTrades Man page
obAnalytics Man page
obAnalytics-package Man page
orderAggressiveness Man page
orderBook Man page
plotCurrentDepth Man page
plotEventMap Man page
plotEventsHistogram Man page
plotPriceLevels Man page
plotPriceLevelsFaster Man page
plotTimeSeries Man page
plotTrades Man page
plotVolumeMap Man page
plotVolumePercentiles Man page
priceLevelVolume Man page
processData Man page
saveData Man page
setOrderTypes Man page
sMatrix Man page
themeBlack Man page
tradeImpacts Man page
trades Man page

Files

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.

Please suggest features or report bugs with the GitHub issue tracker.

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