loadEventData {obAnalytics}R Documentation

Read raw limit order event data from a CSV file.

Description

The function performs some data sanitisation: removing duplicate events and ensuring that order events are in the appropriate order. The data are ordered according to the life-cycle of a limit order: order id, volume (desc), action (created,changed,deleted)

Usage

loadEventData(file)

Arguments

file

Location of CSV file containing limit order events.

Details

In addition to returning the sanitised raw data, the function also appends a column "fill.deltas" representing the change in volume for each limit order event.

Value

A data.frame containing the raw limit order events data.

Author(s)

phil


[Package obAnalytics version 0.1.1 Index]