MT5.BidAskBook: Order book

In Kinzel/mt5r: R and MT5 integration by socket connection

Description

This function is for obtaining Bid or Ask order book with specified book depth.

Usage

MT5.BidAskBook(sSymbol, iBidAsk = 0, iBookDepth = 5)

Arguments

sSymbol	character; target symbol
iBidAsk	int; if iBidAsk = 0 Bid is given, iBidAsk = 1 Ask is given (default 0).
iBookDepth	int; book depth (default 5)

Value

Data.frame [nx2] is returned, with follow informations:

• fPrice {numeric}: price

• Volume {int}: bid/ask grouped by price

(Stocks market) If its returns a line with fPrices = 0 the market is in auction. Check references.

(Stocks market) In auctions this function cannot reflect the book properly.

Author(s)

Guilherme Kinzel, [e-mail]

References

https://www.investopedia.com/terms/o/order-book.asp https://www.investopedia.com/terms/a/auctionmarket.asp

See Also

MT5.BidAskSpread()

Kinzel/mt5r documentation built on March 25, 2021, 9:57 p.m.