plotPriceLevels {obAnalytics}

Plot order book price level heat map.

Description

Produces a visualisation of the limit order book depth through time.

Usage

plotPriceLevels(depth, spread = NULL, trades = NULL, show.mp = T,
  show.all.depth = F, col.bias = 0.1, start.time = head(depth$timestamp,
  1), end.time = tail(depth$timestamp, 1), price.from = NULL,
  price.to = NULL, volume.from = NULL, volume.to = NULL,
  volume.scale = 1)

Arguments

depth

The order book depth.

spread

Spread to overlay obtained from getSpread.

trades

trades data.

show.mp

If True, spread will be summarised as midprice.

show.all.depth

If True, show resting (and never hit) limit orders.

col.bias

1 = uniform colour spectrum. 0.25 = bias toward 0.25 (more red less blue). <= 0 enables logarithmic scaling.

start.time

Plot depth from this time onward.

end.time

Plot depth up until this time.

price.from

Plot depth with price levels >= this value.

price.to

Plot depth with price levels <= this value.

volume.from

Plot depth with volume >= this value relevant to volume.scale

volume.to

Plot depth with volume <= this value relevant to volume scale.

volume.scale

Volume scale factor.

Details

The available volume at each price level is colour coded according to the range of volume at all price levels. The colour coding follows the visible spectrum, such that larger amounts of volume appear "hotter" than smaller amounts, where cold = blue, hot = red.

Since the distribution of limit order size exponentially decays, it can be difficult to visually differentiate: most values will appear to be blue. The function provides price, volume and a colour bias range to overcome this.

Author(s)

phil

Examples

# bid/ask spread.
spread <- with(lob.data, getSpread(depth.summary))

## Not run: 

# plot all depth levels, rescaling the volume by 10^-8.
# produce 2 plots side-by-side: second plot contains depth levels with > 50
# units of volume.
p1 <- with(lob.data, plotPriceLevels(depth, spread,
                                       col.bias=0.1,
                                       volume.scale=10^-8))
p2 <- with(lob.data, plotPriceLevels(depth, spread,
                                       col.bias=0.1,
                                       volume.scale=10^-8,
                                       volume.from=50))
library(grid)
pushViewport(viewport(layout=grid.layout(1, 2)))
print(p1, vp=viewport(layout.pos.row=1, layout.pos.col=1))
print(p2, vp=viewport(layout.pos.row=1, layout.pos.col=2))

## End(Not run)

# zoom into 1 hour of activity, show the spread and directional trades. 
with(lob.data, plotPriceLevels(depth, spread, trades,
   start.time=as.POSIXct("2015-05-01 03:25:00.000", tz="UTC"),
   end.time=as.POSIXct("2015-05-01 04:25:00.000", tz="UTC"),
   volume.scale=10^-8))

# zoom in to 15 minutes of activity, show the bid/ask midprice.
with(lob.data, plotPriceLevels(depth, spread,
   show.mp=FALSE,
   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")))