Description Format Details Author(s) See Also
Inferred trades (executions).
A data.frame consisting of the following fields:
Local event timestamp.
Price at which the trade occured.
Amount of traded volume.
The trade direction: buy or sell.
Corresponding market making event id in
events
.
Corresponding market taking event id in
events
.
Id of the market making limit order in
events
.
Id of the market taking limit order in
events
.
The trades data.frame contains a log of all executions ordered by local
timestamp. In addition to the usual timestamp, price and volume information,
each row also contains the trade direction (buyer or seller initiated) and
maker/taker limit order ids. The maker/taker event and limit order ids can
be used to group trades into market impacts. See:
tradeImpacts
.
phil
Other Limit.order.book.data: depth.summary
,
depth
, events
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