priceLevelVolume: Calculate priceLevelVolume (depth).

In obAnalytics: Limit Order Book Analytics

Description

Given a data.frame of limit order events, this function will calculate the cumulative volume for each price level over time. Changes in volume at a price level can occur when an a new order is added to the queue, updated (partial fill) or deleted (execution or removal). The resulting time series is of the form:

Usage

priceLevelVolume(events)

Arguments

events

Limit order events.

Details

timestamp

local time at which volume changed

price

price level at which volume changed

volume

amount of volume now remaining at this price level

side

the current side of the price level in the order book

Value

Time series of liquidity for each price level in the order book.

Author(s)

phil

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