BSI: BIS

Description Usage Arguments Details Value

View source: R/hftsimulator.r

Description

market order flow.

Usage

1
BSI(lastprice, bid1, ask1, volume, AGGREGATE = FALSE)

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 April 18, 2018, 9:24 p.m.