obAnalytics (version 0.1.1)

eventMatch: Match Market Orders (takers) to Limit Orders (makers).

Description

Matches corresponding Bid(s) and Ask(s) for each trade event.

Usage

eventMatch(events, cut.off.ms = 5000)

Arguments

events

data frame of order book events.

cut.off.ms

events occuring outside of this time (in milliseconds) will be considered as candidate matches.

Details

A trade event (a market impact) will generate a list of volume change events. This function will line up 2 time ordered event lists for each side of the book and attempt to align them by matching volume. If the result contains duplicate matches, then the matching is treated as a sequence alignment problem, and the Needleman-Wunsch algorithm is applied. As such, the function acts as a type of "one shot" matching engine, simulating an order book matching engine without the need to reconstruct the whole book.

Examples

asTime <- function(s) as.POSIXct(s, tz="UTC")
events <- data.frame(timestamp=c(asTime("2015-10-10 21:32:00.000"),
                                 asTime("2015-10-10 21:32:00.010"),
                                 asTime("2015-10-10 21:32:10.000"),
                                 asTime("2015-10-10 21:32:10.010")),
                      direction=c("bid", "ask", "bid", "ask"),
                      event.id=c(1, 2, 3, 4),
                      fill=rep(1234, 4))
matched <- obAnalytics:::eventMatch(events, cut.off.ms=1000)