lm.trade.imbalance: Trade Imbalance Model Fit
In jmazar/obmodeling: Modeling, Analysis, and Graphics of Limit Order Book Data
View source: R/trade_imbalance.R
lm.trade.imbalance R Documentation
Trade Imbalance Model Fit
Description
Simple linear model fit for trade imbalance model
Usage
lm.trade.imbalance(symbol, actual.start, n.days.lookback = 5, adv.mult = 1,
lh = "")
Arguments
actual.start
start date of analysis
n.days.lookback
number of days to look back for in sample data
adv.mult
average daily volume multiplier for bar zize
lh
liquid hours
x
xts object of tick data
Details
TODO
jmazar/obmodeling documentation built on March 27, 2022, 12:55 a.m.
R Package Documentation
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View source: R/trade_imbalance.R
| lm.trade.imbalance | R Documentation |
Trade Imbalance Model Fit
Description
Simple linear model fit for trade imbalance model
Usage
lm.trade.imbalance(symbol, actual.start, n.days.lookback = 5, adv.mult = 1, lh = "")
Arguments
actual.start |
start date of analysis |
n.days.lookback |
number of days to look back for in sample data |
adv.mult |
average daily volume multiplier for bar zize |
lh |
liquid hours |
x |
xts object of tick data |
Details
TODO
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.
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