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. |
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