plotEventMap {obAnalytics} | R Documentation |
Plot limit order event map.
Description
Generates a visualisation of limit order events (excluding market and market limit orders).
Usage
plotEventMap(events, start.time = min(events$timestamp),
end.time = max(events$timestamp), price.from = NULL, price.to = NULL,
volume.from = NULL, volume.to = NULL, volume.scale = 1)
Arguments
events |
Limit order |
start.time |
Plot events from this time onward. |
end.time |
Plot events up until this time. |
price.from |
Plot events with price levels >= this value. |
price.to |
Plot events with price levels <= this value. |
volume.from |
Plot events with volume >= this value relevant to volume.scale |
volume.to |
Plot events with volume <= this value relevant to volume scale. |
volume.scale |
Volume scale factor. |
Details
Ask side orders = red.
Bid side orders = blue.
Volume of order determines size of circle.
Opaque = volume was added.
Transparent = volume was removed.
Author(s)
phil
Examples
## Not run:
# plot all orders
with(lob.data, plotEventMap(events))
## End(Not run)
# 1 hour of activity and re-scale the volume
with(lob.data, plotEventMap(events,
start.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
end.time=as.POSIXct("2015-05-01 04:00:00.000", tz="UTC"),
volume.scale=10^-8))
# 15 minutes of activity >= 5 (re-scaled) volume within price range
# $ [220, 245]
with(lob.data, plotEventMap(events,
start.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
end.time=as.POSIXct("2015-05-01 03:45:00.000", tz="UTC"),
price.from=220,
price.to=245,
volume.from=5,
volume.scale=10^-8))
[Package obAnalytics version 0.1.1 Index]