Description Usage Arguments Details Value Author(s)
Given a data.frame of limit order events, this function will calculate the cumulative volume for each price level over time. Changes in volume at a price level can occur when an a new order is added to the queue, updated (partial fill) or deleted (execution or removal). The resulting time series is of the form:
1 |
events |
Limit order events. |
local time at which volume changed
price level at which volume changed
amount of volume now remaining at this price level
the current side of the price level in the order book
Time series of liquidity for each price level in the order book.
phil
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.