priceLevelVolume {obAnalytics} | R Documentation |
Calculate priceLevelVolume (depth).
Description
Given a data.frame of limit order events, this function will calculate the cumulative volume for each price level over time. Changes in volume at a price level can occur when an a new order is added to the queue, updated (partial fill) or deleted (execution or removal). The resulting time series is of the form:
Usage
priceLevelVolume(events)
Arguments
events |
Limit order events. |
Details
- timestamp
local time at which volume changed
- price
price level at which volume changed
- volume
amount of volume now remaining at this price level
- side
the current side of the price level in the order book
Value
Time series of liquidity for each price level in the order book.
Author(s)
phil
[Package obAnalytics version 0.1.1 Index]