plotVolumeMap {obAnalytics} | R Documentation |
Visualise flashed-limit order volume.
Description
Plots the points at which volume was added or removed from the limit order book.
Usage
plotVolumeMap(events, action = "deleted", type = c("flashed-limit"),
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, log.scale = F)
Arguments
events |
Limit order |
action |
"deleted" for cancelled volume, "added" for added volume. |
type |
default = c("flashed-limit"). Set of types. |
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. |
log.scale |
If true, plot volume on logarithmic scale. |
Details
A flashed limit-order is a "fleeting" limit order: an order was added, then removed (usually within a very short period of time). This plot is especially useful for identifying individual trading algorithms by price and volume.
Author(s)
phil
Examples
# plot all fleeting limit order volume using logarithmic scale.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8, log.scale=TRUE))
# "fleeting" order volume within 1 hour range up until 10 units of volume.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8,
start.time=as.POSIXct("2015-05-01 02:30:00.000", tz="UTC"),
end.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
volume.to=10))