Description Format Details Author(s) See Also
Limit order book summary statistics.
A data.frame consisting of the following fields:
Local timestamp corresponding to events
.
Best bid price.
Amount of volume available at the best bid.
The amount of volume available for 20 25bps percentiles below the best bid.
The best ask price.
Amount of volume available at the best ask.
The amount od volume available for 20 25bps percentiles above the best ask.
Various summary statistics describing the state of the order book after every limit order event. The metrics are intended to quantify the shape of the order book through time.
phil
Other Limit order book data: depth
,
events
, trades
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