matchTrades: Construct trades data.table.
In obAnalytics: Limit Order Book Analytics

Description Usage Arguments Value Author(s) Examples

Given event data which has been pre-matched with maker/taker event ids, this function will return a data.table containing all matched executions.

1	matchTrades(events)

events

Limit order event data with assigned maker/taker event ids.

A data.frame describing marketable order executions of the following form:

timestamp: min(maker timestamp, taker timestamp) (first time we learned of this trade)
price: Maker price (taker limit price can cross the book.)
volume: Lifted/traded volume
direction: Trade direction (side of the aggressor/taker)
maker.event.id: event.id corresponding to row in events data
taker.event.id: event.id corresponding to tow in events data
maker: Maker limit order id
taker: Taker limit order id

A market limit order (marketable) is first a taker and then becomes a maker after landing in the order book before it's limit is reached.

A market order is always a taker: it's volume will be filled before it's limit is reached.

Grouping executions by maker/taker can be used to analyse market impact events.

phil

## Not run: 

csv.file <- system.file("extdata", "orders.csv.xz", package="obAnalytics")
events <- loadEventData(csv.file)
events <- eventMatch(events)
trades <- matchTrades(events)

## End(Not run)