Spread to overlay (getSpread(lob.data$depth.summary))
trades
Trades (lob.data$trades).
show.mp
If True, spread will be summarised as midprice.
col.bias
1 = uniform colour spectrum. 0.25 = bias toward 0.25
(more red less blue).
Details
An individual order book will consist of hundreds of thousands to millions
of updates per day. Plotting a heatmap of order book depth with even a few
thousand filtered events with ggplot is excruciatingly slow. This function
makes it possible to plot a heat map of all order book updates in a
reasonable amount of time. To achieve this, the function plots horizontal
colour coded lines for each price level update.