Description Usage Arguments Author(s) Examples
View source: R/visualisation.R
Plots the cumalative volume on each side of the limit order book.
1 2 | plotCurrentDepth(order.book, volume.scale = 1, show.quantiles = T,
show.volume = T)
|
order.book |
A limit |
volume.scale |
Volume scale factor. |
show.quantiles |
If true, highlight top 1% highest volume. |
show.volume |
If true, also show non-cumulative volume. |
phil
1 2 3 4 5 6 7 | # get a limit order book for a specific point in time, limited to +- 150bps
# above/below best bid/ask price.
lob <- orderBook(lob.data$events,
tp=as.POSIXct("2015-05-01 04:38:17.429", tz="UTC"), bps.range=150)
# visualise the order book liquidity.
plotCurrentDepth(lob, volume.scale=10^-8)
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