spread_bookdepth: Calculate price and volume spread from order book / tick data
In imlijunda/tswbench: Tushare Workbench
Description
Usage
Arguments
Value
Description
dt is changed by reference
Usage
1
spread_bookdepth(dt, book_depth = 5L, reorder = TRUE)
Arguments
dt
order book or tick data
book_depth
max book depth
reorder
whether to reorder columns
Value
a data.table, dt is changed by reference
imlijunda/tswbench documentation built on June 12, 2021, 12:45 p.m.
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.
Description Usage Arguments Value
Description
dt is changed by reference
Usage
1 | spread_bookdepth(dt, book_depth = 5L, reorder = TRUE)
|
Arguments
dt |
order book or tick data |
book_depth |
max book depth |
reorder |
whether to reorder columns |
Value
a data.table, dt is changed by reference
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.