Package: obAnalytics 0.1.2

Overview | Recommended environment settings | Loading data | Expected csv schema | Preprocessed example data | depth.summary Limit order book summary statistics. | Events | deleted The order may be deleted at the request of the trader or, in theevent that the order has been completely filled, deleted by theexchange. An order deleted by the exchange as a result of beingfilled will have 0 remaining volume at time of deletion. | aggressiveness.bps The distance of the order from the edge of the book inBasis Points (BPS). If an order is placed exactly at thebest bid/ask queue, this value will be 0. If placedbehind the best bid/ask, the value will be negative. Apositive value is indicative of a innovative order: Theorder was placed inside the bid/ask spread, which wouldresult in the change to the market midprice. | Trades | Depth | Depth summary | ask.vol25:500bps The amount of volume available for 20 25bps percentilesabove the best ask. | Visualisation | Order book shape | Price level volume | Liquidity | Order cancellations | Analysis | Order book reconstruction | Market impacts | All market impacts | Individual impact