Description Usage Arguments Details Value Author(s) Examples
Generates a data.frame containing order book impacts.
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trades |
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An impact consists of 1 or more limit orders being hit in order to fulfil a market order.
A data.frame containing a summary of market order impacts:
market order id
minimum executed price
maximum executed price
VWAP obtained by market order
number of limit orders hit by market order
total volume removed by this impact
(local) start time of this impact
(local) end time of this impact
direction of this impact (buy or sell)
phil
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