events {obAnalytics}

Limit order events.

Description

A data.frame containing the lifecycle of limit orders.

Format

A data.frame consisting of the following fields:

event.id

Event ID.

id

Limit Order ID.

timestamp

Local timestamp for order update (create/modify/delete).

exchange.timestamp

Exchange order creation time.

price

Limit order price level.

volume

Remaining limit order volume.

action

Event action: created, changed, deleted.

direction

Order book side: bid, ask.

fill

For changed or deleted events, indicates the change in volume.

matching.event

Matching event.id if this event is part of a trade. NA otherwise.

type

Limit order type (see Event types below.)

aggressiveness.bps

The distance of the order from the edge of the book in Basis Points (BPS).

Each limit order type has been categorised as follows:

unknown

It was not possible to infer the order type given the available data.

flashed-limit

Order was created then subsequently deleted. 96% of example data.

resting-limit

Order was created and left in order book indefinitely until filled.

market-limit

Order was partially filled before landing in the order book at it's limit price.

market

Order was completely filled and did not come to rest in the order book.

pacman

A limit-price modified in situ (exchange algorithmic order).

Details

The purpose of this table is to keep account of the lifecycle of all orders in both sides of the limit order book. The lifecycle of an individual limit order follows a sequence of events:

created

The order is created with a specified amount of volume and a limit price.

changed

The order has been partially filled. On each modification, the remaining volume will decrease.

deleted

The order may be deleted at the request of the trader or, in the event that the order has been completely filled, deleted by the exchange. An order deleted by the exchange as a result of being filled will have 0 remaining volume at time of deletion.

Author(s)

phil

See Also

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