orderbook-package: Analyze and visualize orderbook data.

Description Details Author(s)


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


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)


Andrew Liu <andrew.t.liu@williams.edu>, Khanh Nguyen <knguyen@cs.umb.edu>, David Kane <dave@kanecap.com>.

orderbook documentation built on May 2, 2019, 12:19 p.m.