loadEventData: Read raw limit order event data from a CSV file.
Description
The function performs some data sanitisation: removing duplicate events
and ensuring that order events are in the appropriate order. The data are
ordered according to the life-cycle of a limit order:
order id, volume (desc), action (created,changed,deleted)
Usage
loadEventData(file)
Arguments
file
Location of CSV file containing limit order events.
Value
A data.frame containing the raw limit order events data.
Details
In addition to returning the sanitised raw data, the function also
appends a column "fill.deltas" representing the change in volume for each
limit order event.