trades: Trades.
In phil8192/ob-analytics: Limit Order Book Analytics

Description Format Details Author(s) See Also

Inferred trades (executions).

A data.frame consisting of the following fields:

timestamp: Local event timestamp.
price: Price at which the trade occured.
volume: Amount of traded volume.
direction: The trade direction: buy or sell.
maker.event.id: Corresponding market making event id in events.
taker.event.id: Corresponding market taking event id in events.
maker: Id of the market making limit order in events.
taker: Id of the market taking limit order in events.

The trades data.frame contains a log of all executions ordered by local timestamp. In addition to the usual timestamp, price and volume information, each row also contains the trade direction (buyer or seller initiated) and maker/taker limit order ids. The maker/taker event and limit order ids can be used to group trades into market impacts. See: tradeImpacts.

phil

Other Limit order book data: depth.summary, depth, events

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