priceLevelVolume: Calculate priceLevelVolume (depth).
Description
Given a data.frame of limit order events, this function will calculate
the cumulative volume for each price level over time. Changes in volume
at a price level can occur when an a new order is added to the queue,
updated (partial fill) or deleted (execution or removal). The resulting
time series is of the form:
Usage
priceLevelVolume(events)
Arguments
events
Limit order events.
Value
Time series of liquidity for each price level in the order book.