BSI: BIS
In chenhaotian/High-Frequency-Trading-Simulation-System: High-Frequency Trading Simulation System
Description
Usage
Arguments
Details
Value
Description
market order flow.
Usage
1
Arguments
lastprice
last trading price.
bid1
previous orderbook's bid1 price.
ask1
previous orderbook's ask1 price.
volume
last trading volume.
AGGREGATE
specyfing wether to aggretate all buyer/seller initiated
volumes together.
Details
extract market order flow form give transaction data.
Value
a matrix of two columns corresponding to buyer and seller initialed
order flow.
chenhaotian/High-Frequency-Trading-Simulation-System documentation built on May 13, 2019, 3:52 p.m.
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Description Usage Arguments Details Value
Description
market order flow.
Usage
1 |
Arguments
lastprice |
last trading price. |
bid1 |
previous orderbook's bid1 price. |
ask1 |
previous orderbook's ask1 price. |
volume |
last trading volume. |
AGGREGATE |
specyfing wether to aggretate all buyer/seller initiated volumes together. |
Details
extract market order flow form give transaction data.
Value
a matrix of two columns corresponding to buyer and seller initialed order flow.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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