plotVolumeMap: Visualise flashed-limit order volume.

In phil8192/ob-analytics: Limit Order Book Analytics

Description

Plots the points at which volume was added or removed from the limit order book.

Usage

plotVolumeMap(events, action = "deleted", type = c("flashed-limit"),
  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, log.scale = F)

Arguments

events	Limit order events data.frame.
action	"deleted" for cancelled volume, "added" for added volume.
type	default = c("flashed-limit"). Set of types.
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.
log.scale	If true, plot volume on logarithmic scale.

Details

A flashed limit-order is a "fleeting" limit order: an order was added, then removed (usually within a very short period of time). This plot is especially useful for identifying individual trading algorithms by price and volume.

Author(s)

phil

Examples

# plot all fleeting limit order volume using logarithmic scale.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8, log.scale=TRUE))

# "fleeting" order volume within 1 hour range up until 10 units of volume.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8,
    start.time=as.POSIXct("2015-05-01 02:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
    volume.to=10))

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