depth.summary {obAnalytics}

Depth summary.

Description

Limit order book summary statistics.

Format

A data.frame consisting of the following fields:

timestamp

Local timestamp corresponding to events.

best.bid.price

Best bid price.

best.bid.vol

Amount of volume available at the best bid.

bid.vol25:500bps

The amount of volume available for 20 25bps percentiles below the best bid.

best.ask.price

The best ask price.

best.ask.vol

Amount of volume available at the best ask.

ask.vol25:500bps

The amount od volume available for 20 25bps percentiles above the best ask.

Details

Various summary statistics describing the state of the order book after every limit order event. The metrics are intended to quantify the shape of the order book through time.

Author(s)

phil

See Also

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