select_bookdepth: Select bookdepth columns from order book / tick data

In imlijunda/tswbench: Tushare Workbench

Description

Select bookdepth columns from order book / tick data

Usage

select_bookdepth(
  dt,
  book_depth = 5L,
  code_col = "Code",
  date_col = NULL,
  time_col = "Time"
)

Arguments

dt	order book or tick data
book_depth	max book depth
code_col	column name of code, defaults to Code
date_col	column name of date, defaults to NULL (not selected)
time_col	column name of time, defaults to Time

Value

a data.table

imlijunda/tswbench documentation built on June 12, 2021, 12:45 p.m.