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.
|Depends:||R (>= 2.11.0), hash, methods, grid, lattice|
|License:||GPL (>= 2)|
Further information is available in the following vignettes:
||Using the orderbook package (source, pdf)|
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