Description Usage Arguments Value Author(s)
Added or deleted limit orders can be assigned a level of "aggressiveness" with respect to the current best bid (ask) immediately before the order is added or removed from the order book. Orders placed at the best bid (ask) are assigned an aggressiveness of 0 BPS, a negative BPS below the best bid (ask) and a positive BPS if placed inside the spread.
1 |
events |
The events data.frame. |
depth.summary |
Order book summary statistics. |
The events data.frame containing a new aggressiveness.bps column.
phil
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