obAnalytics (version 0.1.1)

tradeImpacts: Trade impacts.

Description

Generates a data.frame containing order book impacts.

Usage

tradeImpacts(trades)

Arguments

trades

trades data.

Value

A data.frame containing a summary of market order impacts:

Details

An impact consists of 1 or more limit orders being hit in order to fulfil a market order.

Examples

# get impacts data.frame from trades data.
impacts <- tradeImpacts(lob.data$trades)

# impacts (in bps) 
sell.bps <- with(impacts[impacts$dir == "sell", ], {
  (max.price-min.price)/max.price
})
10000*summary(sell.bps[sell.bps > 0])