orderbook-package: Analyze and visualize orderbook data.

Description Details Author(s)

Description

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.

Details

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
orderbook			Creating an Object of class orderbook
orderbook-class			Class "orderbook"

Further information is available in the following vignettes:

orderbook Using the orderbook package (source, pdf)

Author(s)

Andrew Liu <[email protected]>, Khanh Nguyen <[email protected]>, David Kane <[email protected]>.


orderbook documentation built on May 30, 2017, 3:15 a.m.