depth: Depth.
In phil8192/ob-analytics: Limit Order Book Analytics
Description
Format
Details
Author(s)
See Also
Description
Price level depth (liquidity) through time.
Format
A data.frame consisting of the following fields:
- timestamp
Time at which volume was added or removed.
- price
Order book price level.
- volume
Amount of remaining volume at this price level.
- side
The side of the price level: bid or ask.
Details
The depth data.frame describes the amount of available volume for all price
levels in the limit order book through time. Each row corresponds to a limit
order event, in which volume has been added or removed.
Author(s)
phil
See Also
Other Limit order book data: depth.summary,
events, trades
phil8192/ob-analytics documentation built on May 25, 2019, 2:56 a.m.
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.
Description Format Details Author(s) See Also
Description
Price level depth (liquidity) through time.
Format
A data.frame consisting of the following fields:
- timestamp
Time at which volume was added or removed.
- price
Order book price level.
- volume
Amount of remaining volume at this price level.
- side
The side of the price level: bid or ask.
Details
The depth data.frame describes the amount of available volume for all price levels in the limit order book through time. Each row corresponds to a limit order event, in which volume has been added or removed.
Author(s)
phil
See Also
Other Limit order book data: depth.summary,
events, trades
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.