Man pages for phil8192/ob-analytics
Limit Order Book Analytics
| alignS | Align 2 sequences. |
| depth | Depth. |
| depthMetrics | Calculate order book summary statistics/metrics. |
| depth.summary | Depth summary. |
| eventMatch | Match Market Orders (takers) to Limit Orders (makers). |
| events | Limit order events. |
| filterDepth | Filter price level volume. |
| getSpread | Get the spread. |
| loadData | Load pre-processed data. |
| loadEventData | Read raw limit order event data from a CSV file. |
| lob.data | Example limit order book data. |
| matchTrades | Construct trades data.table. |
| obAnalytics-package | obAnalytics. |
| orderAggressiveness | Calculate order aggressiveness with respect to best bid or... |
| orderBook | Instantaneous limit order book reconstruction. |
| plotCurrentDepth | Visualise order book depth at any given point in time. |
| plotEventMap | Plot limit order event map. |
| plotEventsHistogram | Plot a histogram given event data. |
| plotPriceLevels | Plot order book price level heat map. |
| plotPriceLevelsFaster | Poor man's heatmap. |
| plotTimeSeries | General purpose time series plot. |
| plotTrades | plotTrades. |
| plotVolumeMap | Visualise flashed-limit order volume. |
| plotVolumePercentiles | Visualise available limit order book liquidity through time. |
| priceLevelVolume | Calculate priceLevelVolume (depth). |
| processData | Import CSV file. |
| saveData | Save processed data. |
| setOrderTypes | Determine limit order types. |
| sMatrix | Similarity matrix. |
| themeBlack | Black theme. |
| tradeImpacts | Trade impacts. |
| trades | Trades. |
