orderBook: Instantaneous limit order book reconstruction.

In obAnalytics: Limit Order Book Analytics

Description

Given a set of events, reconstructs a limit order book for a specific point in time.

Usage

orderBook(events, tp = as.POSIXlt(Sys.time(), tz = "UTC"),
  max.levels = NULL, bps.range = 0, min.bid = 0, max.ask = Inf)

Arguments

events	Limit order events data.frame.
tp	Time point to re-construct order book at.
max.levels	Max number of price levels to return.
bps.range	Max depth to return +- BPS from best bid/ask.
min.bid	Min bid to return.
max.ask	Max ask to return.

Details

An order book consists of 2 sides: bids and asks, an example of which is shown below:

id	price	volume	liquidity	bps
65613703	236.58	910229141	6341547077	2.11
65613655	236.56	1320000000	5431317936	1.26
65613700	236.55	1320000000	4111317936	0.84
65613698	236.54	1600000000	2791317936	0.42
65613712	236.53	1191317936	1191317936	0.00
-	-	-	-	-
65613225	236.36	16154172	16154172	0.00
65613681	236.31	200000000	216154172	2.11
65613220	236.30	100000000	316154172	2.53
65612978	236.28	100000000	416154172	3.38
65612388	236.17	100000000	516154172	8.03

Value

Limit Order Book structure. A list containing 3 fields:

timestamp

Timestamp the order book was reconstructed for.

asks

A data.frame containing the Ask side of the order book.

bids

A data.frame containing the Bid side of the order book.

The bids and asks data consists of the following:

id

Limit order Id.

timestamp

Last modification time to limit order.

exchange.timestamp

Time at which order was placed in order book.

price

Limit order price.

volume

Limit orer volume.

liquidity

Cumulative sum of volume from best bid/ask up until price.

bps

Distance (in BPS) of order from best bid/ask.

Both the bids and asks data are ordered by descending price.

Author(s)

phil

Examples

tp <- as.POSIXct("2015-05-01 04:25:15.342", tz="UTC")
orderBook(lob.data$events, max.levels=5)

obAnalytics documentation built on May 1, 2019, 7:04 p.m.