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 |

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