Description Usage Arguments Details Value Examples
View the orderbook
object when a particular trade happens.
1 2 3 4 | view.trade(object, tradenum)
next.trade(object)
previous.trade(object)
midpoint.return(object, tradenum, time)
|
object |
Object of class |
tradenum |
the trade we want to view. |
time |
Specifies the number of seconds after the trade to calculate the midpoint return for. Can also be a vector of times. |
The orderbook object internally keeps track of the the trades it has read from the data file. The view.trade function returns information about the nth trade. This function can only view trades that occurred prior to the current order.book time.
previous.trade
sets the state of the orderbook to the first trade to
have happened before the current time. next.trade
sets the state to the
orderbook at the very next trade to have happened after the current
time.
midpoint.return
calculates the midpoint return for a trade a
specified number of seconds into the future.
Return an object of class orderbook
. view.trade
and
midpoint.return
print information to the terminal about the
trade and midpoint return, respectively.
1 2 3 4 5 6 7 8 | library(orderbook)
filename <- system.file("extdata", "sample.txt",
package = "orderbook")
ob <- orderbook(file = filename)
ob <- next.trade(ob)
view.trade(ob, 1)
midpoint.return(ob, 1, c(5, 10))
|
Loading required package: lattice
Loading required package: hash
hash-3.0.1 provided by Decision Patterns
Loading required package: grid
trade 1
row 24
time 12:29:13
id 265397
price 11.54
size 300
midpoint.return
5 second 0.03
10 second 0.03
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