lob.data {obAnalytics}

Example limit order book data.

Description

50,393 limit order events. 482 trades.

Usage

data(lob.data)

Format

A list containing 4 data frames as returned by processData

Details

5 hours of limit order book event data obtained from the Bitstamp (bitcoin) exchange on 2015-05-01 (midnight until 5am). The data has been preprocessed with the processData function.

Author(s)

phil

Source

https://www.bitstamp.net/websocket

References

https://github.com/phil8192/ticker

See Also

events, trades, depth, depth.summary