setOrderTypes {obAnalytics} | R Documentation |
Determine limit order types.
Description
This function infers order type given trade and order event data. The following categories are assigned to the event data type field:
- unknown
It was not possible to determine the order type
- flashed-limit
An order which was created and at some future time deleted without ever being hit
- resting-limit
The order was added and left to rest in the order book. it may or may not be hit later
- market-limit
This is a limit order that crosses the book, it's volume is filled until it's limit price is reached, at which point the order comes to land in the book
- pacman
This is a special type of (algorithmic) order executed by the exchange (the order "eats" the best bid or ask at intervals until filled.
- market
This is an order that crosses the book, it's volume is filled before it's limit price is reached (order never comes to land in the book.) A market order is the most aggressive order type.
Usage
setOrderTypes(events, trades)
Arguments
events |
Limit order event data. |
trades |
Execution data. |
Value
The limit order event data with updated type field.
Author(s)
phil