plotPriceLevels: Plot order book price level heat map.

In phil8192/ob-analytics: Limit Order Book Analytics

Description

Produces a visualisation of the limit order book depth through time.

Usage

plotPriceLevels(depth, spread = NULL, trades = NULL, show.mp = T,
  show.all.depth = F, col.bias = 0.1,
  start.time = head(depth$timestamp, 1),
  end.time = tail(depth$timestamp, 1), price.from = NULL,
  price.to = NULL, volume.from = NULL, volume.to = NULL,
  volume.scale = 1, price.by = NULL)

Arguments

depth	The order book depth.
spread	Spread to overlay obtained from getSpread.
trades	trades data.
show.mp	If True, spread will be summarised as midprice.
show.all.depth	If True, show resting (and never hit) limit orders.
col.bias	1 = uniform colour spectrum. 0.25 = bias toward 0.25 (more red less blue). <= 0 enables logarithmic scaling.
start.time	Plot depth from this time onward.
end.time	Plot depth up until this time.
price.from	Plot depth with price levels >= this value.
price.to	Plot depth with price levels <= this value.
volume.from	Plot depth with volume >= this value relevant to volume.scale
volume.to	Plot depth with volume <= this value relevant to volume scale.
volume.scale	Volume scale factor.
price.by	The increment for the 'limit price' scale (y)

Details

The available volume at each price level is colour coded according to the range of volume at all price levels. The colour coding follows the visible spectrum, such that larger amounts of volume appear "hotter" than smaller amounts, where cold = blue, hot = red.

Since the distribution of limit order size exponentially decays, it can be difficult to visually differentiate: most values will appear to be blue. The function provides price, volume and a colour bias range to overcome this.

Author(s)

phil

Examples

# bid/ask spread.
spread <- with(lob.data, getSpread(depth.summary))

## Not run: 

# plot all depth levels, rescaling the volume by 10^-8.
# produce 2 plots side-by-side: second plot contains depth levels with > 50
# units of volume.
p1 <- with(lob.data, plotPriceLevels(depth, spread,
                                       col.bias=0.1,
                                       volume.scale=10^-8))
p2 <- with(lob.data, plotPriceLevels(depth, spread,
                                       col.bias=0.1,
                                       volume.scale=10^-8,
                                       volume.from=50))
library(grid)
pushViewport(viewport(layout=grid.layout(1, 2)))
print(p1, vp=viewport(layout.pos.row=1, layout.pos.col=1))
print(p2, vp=viewport(layout.pos.row=1, layout.pos.col=2))

## End(Not run)

# zoom into 1 hour of activity, show the spread and directional trades. 
with(lob.data, plotPriceLevels(depth, spread, trades,
   start.time=as.POSIXct("2015-05-01 03:25:00.000", tz="UTC"),
   end.time=as.POSIXct("2015-05-01 04:25:00.000", tz="UTC"),
   volume.scale=10^-8))

# zoom in to 15 minutes of activity, show the bid/ask midprice.
with(lob.data, plotPriceLevels(depth, spread,
   show.mp=FALSE,
   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")))

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