Limit Order Book Analytics

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Documentation for package ‘obAnalytics’ version 0.1.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

obAnalytics-package	obAnalytics.
depth	Depth.
depth.summary	Depth summary.
events	Limit order events.
filterDepth	Filter price level volume.
getSpread	Get the spread.
loadData	Load pre-processed data.
lob.data	Example limit order book data.
obAnalytics	obAnalytics.
orderBook	Instantaneous limit order book reconstruction.
plotCurrentDepth	Visualise order book depth at any given point in time.
plotEventMap	Plot limit order event map.
plotEventsHistogram	Plot a histogram given event data.
plotPriceLevels	Plot order book price level heat map.
plotTimeSeries	General purpose time series plot.
plotTrades	plotTrades.
plotVolumeMap	Visualise flashed-limit order volume.
plotVolumePercentiles	Visualise available limit order book liquidity through time.
processData	Import CSV file.
saveData	Save processed data.
tradeImpacts	Trade impacts.
trades	Trades.