Man pages for obAnalytics
Limit Order Book Analytics

alignSAlign 2 sequences.
depthMetricsCalculate order book summary statistics/metrics.
depth.summaryDepth summary.
eventMatchMatch Market Orders (takers) to Limit Orders (makers).
eventsLimit order events.
filterDepthFilter price level volume.
getSpreadGet the spread.
loadDataLoad pre-processed data.
loadEventDataRead raw limit order event data from a CSV file.
lob.dataExample limit order book data.
matchTradesConstruct trades data.table.
orderAggressivenessCalculate order aggressiveness with respect to best bid or...
orderBookInstantaneous limit order book reconstruction.
plotCurrentDepthVisualise order book depth at any given point in time.
plotEventMapPlot limit order event map.
plotEventsHistogramPlot a histogram given event data.
plotPriceLevelsPlot order book price level heat map.
plotPriceLevelsFasterPoor man's heatmap.
plotTimeSeriesGeneral purpose time series plot.
plotVolumeMapVisualise flashed-limit order volume.
plotVolumePercentilesVisualise available limit order book liquidity through time.
priceLevelVolumeCalculate priceLevelVolume (depth).
processDataImport CSV file.
saveDataSave processed data.
setOrderTypesDetermine limit order types.
sMatrixSimilarity matrix.
themeBlackBlack theme.
tradeImpactsTrade impacts.
obAnalytics documentation built on May 29, 2017, 9:36 a.m.