events: Limit order events.
In phil8192/ob-analytics: Limit Order Book Analytics
Description
Format
Details
Author(s)
See Also
Description
A data.frame containing the lifecycle of limit orders.
Format
A data.frame consisting of the following fields:
- event.id
Event ID.
- id
Limit Order ID.
- timestamp
Local timestamp for order update (create/modify/delete).
- exchange.timestamp
Exchange order creation time.
- price
Limit order price level.
- volume
Remaining limit order volume.
- action
Event action: created, changed, deleted.
- direction
Order book side: bid, ask.
- fill
For changed or deleted events, indicates the change in volume.
- matching.event
Matching event.id if this event is part of a
trade. NA otherwise.
- type
Limit order type (see Event types below.)
- aggressiveness.bps
The distance of the order from the edge of the
book in Basis Points (BPS).
Each limit order type has been categorised as follows:
- unknown
It was not possible to infer the order type given the
available data.
- flashed-limit
Order was created then subsequently deleted. 96% of
example data.
- resting-limit
Order was created and left in order book indefinitely
until filled.
- market-limit
Order was partially filled before landing in the order
book at it's limit price.
- market
Order was completely filled and did not come to rest in the
order book.
- pacman
A limit-price modified in situ (exchange algorithmic
order).
Details
The purpose of this table is to keep account of the lifecycle of all orders
in both sides of the limit order book. The lifecycle of an individual limit
order follows a sequence of events:
- created
The order is created with a specified amount of volume and
a limit price.
- changed
The order has been partially filled. On each modification,
the remaining volume will decrease.
- deleted
The order may be deleted at the request of the trader or, in
the event that the order has been completely filled, deleted by the exchange.
An order deleted by the exchange as a result of being filled will have 0
remaining volume at time of deletion.
Author(s)
phil
See Also
Other Limit order book data: depth.summary,
depth, trades
phil8192/ob-analytics documentation built on May 25, 2019, 2:56 a.m.
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Description Format Details Author(s) See Also
Description
A data.frame containing the lifecycle of limit orders.
Format
A data.frame consisting of the following fields:
- event.id
Event ID.
- id
Limit Order ID.
- timestamp
Local timestamp for order update (create/modify/delete).
- exchange.timestamp
Exchange order creation time.
- price
Limit order price level.
- volume
Remaining limit order volume.
- action
Event action: created, changed, deleted.
- direction
Order book side: bid, ask.
- fill
For changed or deleted events, indicates the change in volume.
- matching.event
Matching
event.idif this event is part of a trade.NAotherwise.- type
Limit order type (see Event types below.)
- aggressiveness.bps
The distance of the order from the edge of the book in Basis Points (BPS).
Each limit order type has been categorised as follows:
- unknown
It was not possible to infer the order type given the available data.
- flashed-limit
Order was created then subsequently deleted. 96% of example data.
- resting-limit
Order was created and left in order book indefinitely until filled.
- market-limit
Order was partially filled before landing in the order book at it's limit price.
- market
Order was completely filled and did not come to rest in the order book.
- pacman
A limit-price modified in situ (exchange algorithmic order).
Details
The purpose of this table is to keep account of the lifecycle of all orders in both sides of the limit order book. The lifecycle of an individual limit order follows a sequence of events:
- created
The order is created with a specified amount of volume and a limit price.
- changed
The order has been partially filled. On each modification, the remaining volume will decrease.
- deleted
The order may be deleted at the request of the trader or, in the event that the order has been completely filled, deleted by the exchange. An order deleted by the exchange as a result of being filled will have 0 remaining volume at time of deletion.
Author(s)
phil
See Also
Other Limit order book data: depth.summary,
depth, trades
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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