ob-analytics: Limit Order Book Analytics

Description Usage Arguments Details Value Author(s)

This function calculates various summary statistics describing the state of the limit order book after every event. The metrics are intended to quantify the "shape" of the order book through time. Currenly the following metrics are calculated:

1	depthMetrics(depth, bps = 25, bins = 20)

`depth`	Price level cumulative depth calculated by priceLevelVolume()
`bps`	Width (in BPS) for each interval/bin
`bins`	Number of intervals +- the best bid/ask to aggregate.

  [timestamp,
   best.bid.price, best.bid.vol, bid.vol25:500bps,
   best.ask.price, best.ask.vol, ask.vol25:500bps,]

where timestamp = time of order book state change
 best.bid.price = current best bid price
 best.bid.vol = current amount of volume at the best bid
 bid.vol25:500bps = amount of volume available > -25bps and <= best bid
                    until > 500bps <= 475bps.
   ... the same pattern is then repeated for the ask side.