The orderbook package provides functions for exploring and visualizing orderbook data. For example, we may want to study an orderbook immediately before a trade occurs, or maybe 50 orders before a trade occurs, or we want to visualize the change of an orderbook overtime as the price level fluctuates. The insights from this sort of analysis can help in researching short-term trading strategies.
Package: | orderbook |
Type: | Package |
Version: | 1.0 |
Date: | 2010-07-01 |
Depends: | R (>= 2.11.0), hash, methods, grid, lattice |
License: | GPL (>= 2) |
LazyLoad: | yes |
Index:
1 2 |
Further information is available in the following vignettes:
orderbook | Using the orderbook package (source, pdf) |
Andrew Liu <andrew.t.liu@williams.edu>, Khanh Nguyen <knguyen@cs.umb.edu>, David Kane <dave@kanecap.com>.
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