| orderBook {obAnalytics} | R Documentation |
Instantaneous limit order book reconstruction.
Description
Given a set of events, reconstructs a limit order book for a
specific point in time.
Usage
orderBook(events, tp = as.POSIXlt(Sys.time(), tz = "UTC"),
max.levels = NULL, bps.range = 0, min.bid = 0, max.ask = Inf)
Arguments
events |
Limit order |
tp |
Time point to re-construct order book at. |
max.levels |
Max number of price levels to return. |
bps.range |
Max depth to return +- BPS from best bid/ask. |
min.bid |
Min bid to return. |
max.ask |
Max ask to return. |
Details
An order book consists of 2 sides: bids and asks, an example of which is shown below:
| id | price | volume | liquidity | bps |
| 65613703 | 236.58 | 910229141 | 6341547077 | 2.11 |
| 65613655 | 236.56 | 1320000000 | 5431317936 | 1.26 |
| 65613700 | 236.55 | 1320000000 | 4111317936 | 0.84 |
| 65613698 | 236.54 | 1600000000 | 2791317936 | 0.42 |
| 65613712 | 236.53 | 1191317936 | 1191317936 | 0.00 |
| - | - | - | - | - |
| 65613225 | 236.36 | 16154172 | 16154172 | 0.00 |
| 65613681 | 236.31 | 200000000 | 216154172 | 2.11 |
| 65613220 | 236.30 | 100000000 | 316154172 | 2.53 |
| 65612978 | 236.28 | 100000000 | 416154172 | 3.38 |
| 65612388 | 236.17 | 100000000 | 516154172 | 8.03 |
Value
Limit Order Book structure. A list containing 3 fields:
- timestamp
Timestamp the order book was reconstructed for.
- asks
A data.frame containing the Ask side of the order book.
- bids
A data.frame containing the Bid side of the order book.
The bids and asks data consists of the following:
- id
Limit order Id.
- timestamp
Last modification time to limit order.
- exchange.timestamp
Time at which order was placed in order book.
- price
Limit order price.
- volume
Limit orer volume.
- liquidity
Cumulative sum of volume from best bid/ask up until price.
- bps
Distance (in BPS) of order from best bid/ask.
Both the bids and asks data are ordered by descending price.
Author(s)
phil
Examples
tp <- as.POSIXct("2015-05-01 04:25:15.342", tz="UTC")
orderBook(lob.data$events, max.levels=5)