Description Usage Arguments Details Value Author(s)
View source: R/event-processing.R
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)
1 |
file |
Location of CSV file containing limit order events. |
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.
A data.frame containing the raw limit order events data.
phil
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