plotPriceLevelsFaster: Poor man's heatmap.

In phil8192/ob-analytics: Limit Order Book Analytics

Description

Used by plotPriceLevels filtering function.

Usage

plotPriceLevelsFaster(depth, spread, trades, show.mp = T,
  col.bias = 0.1, price.by)

Arguments

depth	The order book depth (lob.data$depth).
spread	Spread to overlay (getSpread(lob.data$depth.summary))
trades	Trades (lob.data$trades).
show.mp	If True, spread will be summarised as midprice.
col.bias	1 = uniform colour spectrum. 0.25 = bias toward 0.25 (more red less blue). <= 0 enables logarithmic scaling.
price.by	The increment for the 'limit price' scale (y)

Details

An individual order book will consist of hundreds of thousands to millions of updates per day. Plotting a heatmap of order book depth with even a few thousand filtered events with ggplot is excruciatingly slow. This function makes it possible to plot a heat map of all order book updates in a reasonable amount of time. To achieve this, the function plots horizontal colour coded lines for each price level update.

Author(s)

phil

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