obAnalytics-package |
obAnalytics. |
depth |
Depth. |
depth.summary |
Depth summary. |
events |
Limit order events. |
filterDepth |
Filter price level volume. |
getSpread |
Get the spread. |
loadData |
Load pre-processed data. |
lob.data |
Example limit order book data. |
obAnalytics |
obAnalytics. |
orderBook |
Instantaneous limit order book reconstruction. |
plotCurrentDepth |
Visualise order book depth at any given point in time. |
plotEventMap |
Plot limit order event map. |
plotEventsHistogram |
Plot a histogram given event data. |
plotPriceLevels |
Plot order book price level heat map. |
plotTimeSeries |
General purpose time series plot. |
plotTrades |
plotTrades. |
plotVolumeMap |
Visualise flashed-limit order volume. |
plotVolumePercentiles |
Visualise available limit order book liquidity through time. |
processData |
Import CSV file. |
saveData |
Save processed data. |
tradeImpacts |
Trade impacts. |
trades |
Trades. |