orderAggressiveness: Calculate order aggressiveness with respect to best bid or...
In obAnalytics: Limit Order Book Analytics
Description
Usage
Arguments
Value
Author(s)
View source: R/event-processing.R
Description
Added or deleted limit orders can be assigned a level of "aggressiveness"
with respect to the current best bid (ask) immediately before the order is
added or removed from the order book. Orders placed at the best bid (ask)
are assigned an aggressiveness of 0 BPS, a negative BPS below the best bid
(ask) and a positive BPS if placed inside the spread.
Usage
1
Arguments
events
The events data.frame.
depth.summary
Order book summary statistics.
Value
The events data.frame containing a new aggressiveness.bps column.
Author(s)
phil
obAnalytics documentation built on May 1, 2019, 7:04 p.m.
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Description Usage Arguments Value Author(s)
View source: R/event-processing.R
Description
Added or deleted limit orders can be assigned a level of "aggressiveness" with respect to the current best bid (ask) immediately before the order is added or removed from the order book. Orders placed at the best bid (ask) are assigned an aggressiveness of 0 BPS, a negative BPS below the best bid (ask) and a positive BPS if placed inside the spread.
Usage
1 |
Arguments
events |
The events data.frame. |
depth.summary |
Order book summary statistics. |
Value
The events data.frame containing a new aggressiveness.bps column.
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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