Limit Order Book Analytics
Align 2 sequences.
Depth.
Depth summary.
Calculate order book summary statistics/metrics.
Match Market Orders (takers) to Limit Orders (makers).
Limit order events.
Filter price level volume.
Get the spread.
Load pre-processed data.
Read raw limit order event data from a CSV file.
Construct trades data.table.
obAnalytics.
Calculate order aggressiveness with respect to best bid or ask in BPS.
Instantaneous limit order book reconstruction.
Visualise order book depth at any given point in time.
Plot limit order event map.
Plot a histogram given event data.
Plot order book price level heat map.
Poor man's heatmap.
General purpose time series plot.
plotTrades.
Visualise flashed-limit order volume.
Visualise available limit order book liquidity through time.
Calculate priceLevelVolume (depth).
Import CSV file.
Save processed data.
Determine limit order types.
Similarity matrix.
Black theme.
Trade impacts.
Trades.
Data processing, visualisation and analysis of Limit Order Book event data.
Useful links