setOrderTypes: Determine limit order types.

Description Usage Arguments Value Author(s)

Description

This function infers order type given trade and order event data. The following categories are assigned to the event data type field:

unknown

It was not possible to determine the order type

flashed-limit

An order which was created and at some future time deleted without ever being hit

resting-limit

The order was added and left to rest in the order book. it may or may not be hit later

market-limit

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

pacman

This is a special type of (algorithmic) order executed by the exchange (the order "eats" the best bid or ask at intervals until filled.

market

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.

Usage

1

Arguments

events

Limit order event data.

trades

Execution data.

Value

The limit order event data with updated type field.

Author(s)

phil


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