plotVolumePercentiles: Visualise available limit order book liquidity through time.

In obAnalytics: Limit Order Book Analytics

Description

Plots the available volume in 25bps increments on each side of the order book in the form of a stacked area graph.

Usage

plotVolumePercentiles(depth.summary,
  start.time = head(depth.summary$timestamp, 1),
  end.time = tail(depth.summary$timestamp, 1), volume.scale = 1,
  perc.line = T, side.line = T)

Arguments

depth.summary	depth.summary data.
start.time	Plot events from this time onward.
end.time	Plot events up until this time.
volume.scale	Volume scale factor.
perc.line	If true, separate percentiles with subtle line.
side.line	If true, separate bid/ask side with subtle line.

Details

The top of the graph depicts the ask side of the book, whilst the bottom depicts the bid side. Percentiles and order book sides can be separated by an optional subtle line for improved legibility.

Author(s)

phil

Examples

# visualise 2 hours of order book liquidity.
# data will be aggregated to minute-by-minute resolution.
plotVolumePercentiles(lob.data$depth.summary,
    start.time=as.POSIXct("2015-05-01 02:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 04:30:00.000", tz="UTC"),
    volume.scale=10^-8)

## Not run: 

# visualise 15 minutes of order book liquidity.
# data will be aggregated to second-by-second resolution.
plotVolumePercentiles(lob.data$depth.summary,
    start.time=as.POSIXct("2015-05-01 04:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 04:35:00.000", tz="UTC"),
    volume.scale=10^-8)

## End(Not run)

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