obAnalytics (version 0.1.1)

processData: Import CSV file.

Description

Imports and performs preprocessing of limit order data contained in a CSV.

Usage

processData(csv.file)

Arguments

csv.file

Location of CSV file to import

Value

A list containing 4 data frames:

Details

The CSV file is expected to contain 7 columns:

action describes the limit order life-cycle:

An example dataset returned from this function can be seen in lob.data which is the result of processing the example data included in the inst/extdata directory of this package.

Examples

## Not run: 
# 
# csv.file <- system.file("extdata", "orders.csv.xz", package="obAnalytics")
# lob.data <- processData(csv.file)
# ## End(Not run)