getSpread: Get the spread.

In phil8192/ob-analytics: Limit Order Book Analytics

Description

Extracts the spread from the depth summary, removing any points in which a change to bid/ask price/volume did not occur.

Usage

getSpread(depth.summary)

Arguments

depth.summary

depth.summary data.

Details

The spread (best bid and ask price) will change following a market order or upon the addition/cancellation of a limit order at, or within, the range of the current best bid/ask. A change to the spread that is not the result of a market order (an impact/market shock) is known as a quote.

The following table shows a market spread betwen 05:03:22.546 and 05:04:42.957. During this time, the best ask price and volume changes whilst the best bid price and volume remains static.

timestamp	bid.price	bid.vol	ask.price	ask.vol
05:03:22.546	235.45	16235931	235.72	39375160
05:03:24.990	235.45	16235931	235.72	21211607
05:03:25.450	235.45	16235931	235.71	39375160
05:04:15.477	235.45	16235931	235.72	39058160
05:04:16.670	235.45	16235931	235.71	39058160
05:04:42.957	235.45	16235931	235.71	77019160

Value

Bid/Ask spread quote data.

Author(s)

phil

Examples

# get the last 25 quotes (changes to the spread).
with(lob.data, tail(getSpread(depth.summary), 25))

phil8192/ob-analytics documentation built on May 25, 2019, 2:56 a.m.