loadEventData: Read raw limit order event data from a CSV file.
In phil8192/ob-analytics: Limit Order Book Analytics
Description
Usage
Arguments
Details
Value
Author(s)
Description
The function performs some data sanitisation: removing duplicate events
and ensuring that order events are in the appropriate order. The data are
ordered according to the life-cycle of a limit order:
order id, volume (desc), action (created,changed,deleted)
Usage
1
loadEventData(file, price.digits = 2, volume.digits = 8)
Arguments
file
Location of CSV file containing limit order events.
price.digits
an integer indicating the number of decimal places in 'price' column of the CSV file
volume.digits
an integer indicating the number of decimal places in 'volume' column of the CSV file
Details
In addition to returning the sanitised raw data, the function also
appends a column "fill.deltas" representing the change in volume for each
limit order event.
Value
A data.frame containing the raw limit order events data.
Author(s)
phil
phil8192/ob-analytics documentation built on May 25, 2019, 2:56 a.m.
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Description Usage Arguments Details Value Author(s)
Description
The function performs some data sanitisation: removing duplicate events and ensuring that order events are in the appropriate order. The data are ordered according to the life-cycle of a limit order: order id, volume (desc), action (created,changed,deleted)
Usage
1 | loadEventData(file, price.digits = 2, volume.digits = 8)
|
Arguments
file |
Location of CSV file containing limit order events. |
price.digits |
an integer indicating the number of decimal places in 'price' column of the CSV file |
volume.digits |
an integer indicating the number of decimal places in 'volume' column of the CSV file |
Details
In addition to returning the sanitised raw data, the function also appends a column "fill.deltas" representing the change in volume for each limit order event.
Value
A data.frame containing the raw limit order events data.
Author(s)
phil
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.
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