ProfMalloryResearch/BBOToolkit: Tools for Working with CME Group's Historical BBO Data sets

The BBO historical data sets from the CME Group contain every revision to quotes on the top of the book, as well as transactions in the covered contracts. The format of the raw data is not particularly useful so this package contains (will contain) several tools that assist in basic manipulation of and computation on the this type of data.

Getting started

Package details

LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ProfMalloryResearch/BBOToolkit documentation built on May 9, 2017, 7:47 p.m.