plotPriceLevelsFaster {obAnalytics} | R Documentation |
Poor man's heatmap.
Description
Used by plotPriceLevels filtering function.
Usage
plotPriceLevelsFaster(depth, spread, trades, show.mp = T, col.bias = 0.1)
Arguments
depth |
The order book depth (lob.data$depth). |
spread |
Spread to overlay (getSpread(lob.data$depth.summary)) |
trades |
Trades (lob.data$trades). |
show.mp |
If True, spread will be summarised as midprice. |
col.bias |
1 = uniform colour spectrum. 0.25 = bias toward 0.25 (more red less blue). <= 0 enables logarithmic scaling. |
Details
An individual order book will consist of hundreds of thousands to millions of updates per day. Plotting a heatmap of order book depth with even a few thousand filtered events with ggplot is excruciatingly slow. This function makes it possible to plot a heat map of all order book updates in a reasonable amount of time. To achieve this, the function plots horizontal colour coded lines for each price level update.
Author(s)
phil
[Package obAnalytics version 0.1.1 Index]