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]