Description Usage Arguments Value Author(s)
This function infers order type given trade and order event data. The following categories are assigned to the event data type field:
It was not possible to determine the order type
An order which was created and at some future time deleted without ever being hit
The order was added and left to rest in the order book. it may or may not be hit later
This is a limit order that crosses the book, it's volume is filled until it's limit price is reached, at which point the order comes to land in the book
This is a special type of (algorithmic) order executed by the exchange (the order "eats" the best bid or ask at intervals until filled.
This is an order that crosses the book, it's volume is filled before it's limit price is reached (order never comes to land in the book.) A market order is the most aggressive order type.
1 |
events |
Limit order event data. |
trades |
Execution data. |
The limit order event data with updated type field.
phil
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