| trades {obAnalytics} | R Documentation |
Trades.
Description
Inferred trades (executions).
Format
A data.frame consisting of the following fields:
- timestamp
Local event timestamp.
- price
Price at which the trade occured.
- volume
Amount of traded volume.
- direction
The trade direction: buy or sell.
- maker.event.id
Corresponding market making event id in
events.- taker.event.id
Corresponding market taking event id in
events.- maker
Id of the market making limit order in
events.- taker
Id of the market taking limit order in
events.
Details
The trades data.frame contains a log of all executions ordered by local
timestamp. In addition to the usual timestamp, price and volume information,
each row also contains the trade direction (buyer or seller initiated) and
maker/taker limit order ids. The maker/taker event and limit order ids can
be used to group trades into market impacts. See:
tradeImpacts.
Author(s)
phil
See Also
Other Limit.order.book.data: depth.summary,
depth, events