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 |
events |
Limit order event data with assigned maker/taker event ids. |
A data.frame describing marketable order executions of the following form:
min(maker timestamp, taker timestamp) (first time we learned of this trade)
Maker price (taker limit price can cross the book.)
Lifted/traded volume
Trade direction (side of the aggressor/taker)
event.id corresponding to row in events data
event.id corresponding to tow in events data
Maker limit order id
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
1 2 3 4 5 6 7 8 | ## 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)
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