Package: obAnalytics 0.1.2
obAnalytics: Limit Order Book Analytics
Data processing, visualisation and analysis of Limit Order Book event data.
Authors:
obAnalytics_0.1.2.tar.gz
obAnalytics_0.1.2.zip(r-4.5)obAnalytics_0.1.2.zip(r-4.4)obAnalytics_0.1.2.zip(r-4.3)
obAnalytics_0.1.2.tgz(r-4.4-any)obAnalytics_0.1.2.tgz(r-4.3-any)
obAnalytics_0.1.2.tar.gz(r-4.5-noble)obAnalytics_0.1.2.tar.gz(r-4.4-noble)
obAnalytics_0.1.2.tgz(r-4.4-emscripten)obAnalytics_0.1.2.tgz(r-4.3-emscripten)
obAnalytics.pdf |obAnalytics.html✨
obAnalytics/json (API)
| # Install 'obAnalytics' in R: |
| install.packages('obAnalytics', repos = c('https://phil8192.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/phil8192/ob-analytics/issues
- lob.data - Example limit order book data.
bitcoinlimit-order-booktradingvisualisation
Last updated 6 years agofrom:97d1c08c10. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 09 2024 |
| R-4.5-win | OK | Sep 09 2024 |
| R-4.5-linux | OK | Sep 09 2024 |
| R-4.4-win | OK | Sep 09 2024 |
| R-4.4-mac | OK | Sep 09 2024 |
| R-4.3-win | OK | Sep 09 2024 |
| R-4.3-mac | OK | Sep 09 2024 |
Exports:filterDepthgetSpreadloadDataorderBookplotCurrentDepthplotEventMapplotEventsHistogramplotPriceLevelsplotTimeSeriesplotTradesplotVolumeMapplotVolumePercentilesprocessDatasaveDatatradeImpacts
Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigplyrR6RColorBrewerRcppreshape2rlangscalesstringistringrtibbleutf8vctrsviridisLitewithrzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| obAnalytics. | obAnalytics-package obAnalytics |
| Depth. | depth |
| Depth summary. | depth.summary |
| Limit order events. | events |
| Filter price level volume. | filterDepth |
| Get the spread. | getSpread |
| Load pre-processed data. | loadData |
| Example limit order book data. | lob.data |
| Instantaneous limit order book reconstruction. | orderBook |
| Visualise order book depth at any given point in time. | plotCurrentDepth |
| Plot limit order event map. | plotEventMap |
| Plot a histogram given event data. | plotEventsHistogram |
| Plot order book price level heat map. | plotPriceLevels |
| General purpose time series plot. | plotTimeSeries |
| plotTrades. | plotTrades |
| Visualise flashed-limit order volume. | plotVolumeMap |
| Visualise available limit order book liquidity through time. | plotVolumePercentiles |
| Import CSV file. | processData |
| Save processed data. | saveData |
| Trade impacts. | tradeImpacts |
| Trades. | trades |
