Man pages for jmazar/obmodeling
Modeling, Analysis, and Graphics of Limit Order Book Data

bidask.changescalculate changes in L1 bid and ask prices
chart.depthchart market depth at a point in time for a symbol
effective.spreadeffective bid/ask spread defined from trades
lm.trade.imbalanceTrade Imbalance Model Fit
load.tradesload trades or quotes from a csv file
market.depth.statsgenerate descriptive statistics and quantiles for L2 market...
newOBCreate or Get Order Book Environment
obmodeling-packageobmodeling: Modeling, Analysis, and Graphics of Limit Order...
ticks.widecalculate the quoted market bid/ask spread
trade.size.statsgenerate descriptive statistics and quantiles for trades
wmpcalculate weighted midpoint for a symbol
jmazar/obmodeling documentation built on June 8, 2017, 10:30 p.m.