orderbook-class: Class "orderbook"

Description

Functions for manipulating and extractiong information from an orderbook

Objects from the class

Objects can be created by calls to the function orderbook

Slots

current.ob:

A data frame containing the current state of the orderbook.

current.time:

A numeric value in milliseconds after midnight that indicates the time of current.ob.

file:

A character string which specifies the location of the file containing the data file.

file.index:

A numeric value that indicates the current row number of the input file.

ob.data:

A hash that contains all orders currently in the orderbook. Essentially the same as current.ob, but a different data structure.

trade.data:

A vector that contains data on all trades that occurred before current.time.

trader:

A logical indicating whether the order book should expect data with user orders and trades marked.

Methods

show

signature(object = "orderbook"): Prints the variables used in the orderbook

best.bid

signature(object = "orderbook"): Returns the current best bid.

best.ask

signature(object = "orderbook"): Returns the current best ask.

summary

signature(object="orderbook"): Prints a summary of the orderbook

[

signature(x = "orderbook", i = "character"): Prints the orders at that price level.

copy

signature(x = "orderbook"): Creates a copy of the orderbook.

get.order.info

signature(object = "orderbook"): Returns the price and size of the order with the specified ID.

display

signature(object="orderbook"): Prints the state of the orderbook. The result is similar to plot

bid.price.levels

signature(object="orderbook"): Returns the number of bid price levels.

ask.price.levels

signature(object="orderbook"): Returns the number of ask price levels.

total.price.levels

signature(object="orderbook"): Returns the total number of price levels.

bid.orders

signature(object="orderbook"): Returns the number of bids.

ask.orders

signature(object="orderbook"): Returns the number of asks.

total.orders

signature(object="orderbook"): Returns the total number of orders.

mid.point

signature(object="orderbook"): Returns the midpoint between the best ask and the best bid.

inside.market

signature(object="orderbook"): Returns a data frame with a row for the best ask and a row for the best bid. The columns are price, size, and type.

spread

signature(object="orderbook"): Returns the spread between the best ask and best bid .

reset

signature(object="orderbook"): Reset the orderbook to its initial state.

Examples

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library(orderbook)

filename <- system.file("extdata", "sample.txt",
                        package = "orderbook")

ob <- orderbook(file = filename)
ob <- read.orders(ob, 500)

show(ob)
summary(ob)
display(ob)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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