orderAggressiveness: Calculate order aggressiveness with respect to best bid or ask in BPS.
Description
Added or deleted limit orders can be assigned a level of "aggressiveness"
with respect to the current best bid (ask) immediately before the order is
added or removed from the order book. Orders placed at the best bid (ask)
are assigned an aggressiveness of 0 BPS, a negative BPS below the best bid
(ask) and a positive BPS if placed inside the spread.
Usage
orderAggressiveness(events, depth.summary)
Arguments
events
The events data.frame.
depth.summary
Order book summary statistics.
Value
The events data.frame containing a new aggressiveness.bps column.