loadEventData: Read raw limit order event data from a CSV file.
In obAnalytics: Limit Order Book Analytics
Description
Usage
Arguments
Details
Value
Author(s)
View source: R/event-processing.R
Description
The function performs some data sanitisation: removing duplicate events
and ensuring that order events are in the appropriate order. The data are
ordered according to the life-cycle of a limit order:
order id, volume (desc), action (created,changed,deleted)
Usage
1
Arguments
file
Location of CSV file containing limit order events.
Details
In addition to returning the sanitised raw data, the function also
appends a column "fill.deltas" representing the change in volume for each
limit order event.
Value
A data.frame containing the raw limit order events data.
Author(s)
phil
obAnalytics documentation built on May 1, 2019, 7:04 p.m.
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Description Usage Arguments Details Value Author(s)
View source: R/event-processing.R
Description
The function performs some data sanitisation: removing duplicate events and ensuring that order events are in the appropriate order. The data are ordered according to the life-cycle of a limit order: order id, volume (desc), action (created,changed,deleted)
Usage
1 |
Arguments
file |
Location of CSV file containing limit order events. |
Details
In addition to returning the sanitised raw data, the function also appends a column "fill.deltas" representing the change in volume for each limit order event.
Value
A data.frame containing the raw limit order events data.
Author(s)
phil
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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