obAnalytics (version 0.1.1)

plotVolumeMap: Visualise flashed-limit order volume.

Description

Plots the points at which volume was added or removed from the limit order book.

Usage

plotVolumeMap(events, action = "deleted", type = c("flashed-limit"), start.time = min(events$timestamp), end.time = max(events$timestamp), price.from = NULL, price.to = NULL, volume.from = NULL, volume.to = NULL, volume.scale = 1, log.scale = F)

Arguments

events

Limit order events data.frame.

action

"deleted" for cancelled volume, "added" for added volume.

type

default = c("flashed-limit"). Set of types.

start.time

Plot events from this time onward.

end.time

Plot events up until this time.

price.from

Plot events with price levels >= this value.

price.to

Plot events with price levels

volume.from

Plot events with volume >= this value relevant to volume.scale

volume.to

Plot events with volume

volume.scale

Volume scale factor.

log.scale

If true, plot volume on logarithmic scale.

Details

A flashed limit-order is a "fleeting" limit order: an order was added, then removed (usually within a very short period of time). This plot is especially useful for identifying individual trading algorithms by price and volume.

Examples

# plot all fleeting limit order volume using logarithmic scale.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8, log.scale=TRUE))

# "fleeting" order volume within 1 hour range up until 10 units of volume.
with(lob.data, plotVolumeMap(events, volume.scale=10^-8,
    start.time=as.POSIXct("2015-05-01 02:30:00.000", tz="UTC"),
    end.time=as.POSIXct("2015-05-01 03:30:00.000", tz="UTC"),
    volume.to=10))