Man pages for jmazar/obmodeling
Modeling, Analysis, and Graphics of Limit Order Book Data
| bidask.changes | calculate changes in L1 bid and ask prices |
| chart.depth | chart market depth at a point in time for a symbol |
| effective.spread | effective bid/ask spread defined from trades |
| lm.trade.imbalance | Trade Imbalance Model Fit |
| load.trades | load trades or quotes from a csv file |
| market.depth.stats | generate descriptive statistics and quantiles for L2 market... |
| newOB | Create or Get Order Book Environment |
| obmodeling-package | obmodeling: Modeling, Analysis, and Graphics of Limit Order... |
| ticks.wide | calculate the quoted market bid/ask spread |
| trade.size.stats | generate descriptive statistics and quantiles for trades |
| wmp | calculate weighted midpoint for a symbol |
