plotEventMap: Plot limit order event map.

In phil8192/ob-analytics: Limit Order Book Analytics

Description

Generates a visualisation of limit order events (excluding market and market limit orders).

Usage

plotEventMap(events, start.time = min(events$timestamp),
  end.time = max(events$timestamp), price.from = NULL,
  price.to = NULL, volume.from = NULL, volume.to = NULL,
  volume.scale = 1)

Arguments

events	Limit order events data.frame.
start.time	Plot events from this time onward.
end.time	Plot events up until this time.
price.from	Plot events with price levels >= this value.
price.to	Plot events with price levels <= this value.
volume.from	Plot events with volume >= this value relevant to volume.scale
volume.to	Plot events with volume <= this value relevant to volume scale.
volume.scale	Volume scale factor.

Details

• Ask side orders = red.

• Bid side orders = blue.

• Volume of order determines size of circle.

• Opaque = volume was added.

• Transparent = volume was removed.

Author(s)

phil

Examples

## Not run: 

# plot all orders 
with(lob.data, plotEventMap(events))

## End(Not run)

# 1 hour of activity and re-scale the volume
with(lob.data, plotEventMap(events,
    start.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 04:00:00.000", tz="UTC"),
    volume.scale=10^-8))

# 15 minutes of activity >= 5 (re-scaled) volume within price range
# $ [220, 245]
with(lob.data, plotEventMap(events,
    start.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 03:45:00.000", tz="UTC"),
    price.from=220,
    price.to=245,
    volume.from=5,
    volume.scale=10^-8))

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