processData: Import CSV file.
In obAnalytics: Limit Order Book Analytics

Description Usage Arguments Details Value Author(s) Examples

Imports and performs preprocessing of limit order data contained in a CSV.

1	processData(csv.file)

csv.file

Location of CSV file to import

The CSV file is expected to contain 7 columns:

id: Numeric limit order unique identifier
timestamp: Time in milliseconds when event received locally
exchange.timestamp: Time in milliseconds when order first created on the exchange
price: Price level of order event
volume: Remaining order volume
action: Event type (see below)
direction: Side of order book (bid or ask)

action describes the limit order life-cycle:

created: The limit order has been created
modified: The limit order has been modified (partial fill)
deleted: The limit order was deleted. If the remaining volume is 0, the order has been filled.

An example dataset returned from this function can be seen in lob.data which is the result of processing the example data included in the inst/extdata directory of this package.

A list containing 4 data frames:

events: Limit order events.
trades: Inferred trades (executions).
depth: Order book price level depth through time.
depth.summary: Limit order book summary statistics.

phil

## Not run: 

csv.file <- system.file("extdata", "orders.csv.xz", package="obAnalytics")
lob.data <- processData(csv.file)

## End(Not run)

Warning messages:
1: In removeDuplicates(events) :
  removed 21 duplicate order cancellations: 65596120 65596357 65596676 65597006 65597373 65600644 65600735 65602237 65602778 65602840 65603803 65607113 65608575 65609615 65611337 65611587 65611670 65612318 65614640 65616313 65618531
2: In setOrderTypes(events, trades) : could not identify 356 orders