orderbook-class: Class "orderbook"

Description

Functions for manipulating and extractiong information from an orderbook

Arguments

Objects from the class

Objects can be created by calls to the function orderbook

Slots

current.ob:: A data frame containing the current state of the orderbook.
current.time:: A numeric value in milliseconds after midnight that indicates the time of current.ob.
file:: A character string which specifies the location of the file containing the data file.
file.index:: A numeric value that indicates the current row number of the input file.
ob.data:: A hash that contains all orders currently in the orderbook. Essentially the same as current.ob, but a different data structure.
trade.data:: A vector that contains data on all trades that occurred before current.time.
trader:: A logical indicating whether the order book should expect data with user orders and trades marked.

Methods

show: signature(object = "orderbook"): Prints the variables used in the orderbook
best.bid: signature(object = "orderbook"): Returns the current best bid.
best.ask: signature(object = "orderbook"): Returns the current best ask.
summary: signature(object="orderbook"): Prints a summary of the orderbook
[: signature(x = "orderbook", i = "character"): Prints the orders at that price level.
copy: signature(x = "orderbook"): Creates a copy of the orderbook.
get.order.info: signature(object = "orderbook"): Returns the price and size of the order with the specified ID.
display: signature(object="orderbook"): Prints the state of the orderbook. The result is similar to plot
bid.price.levels: signature(object="orderbook"): Returns the number of bid price levels.
ask.price.levels: signature(object="orderbook"): Returns the number of ask price levels.
total.price.levels: signature(object="orderbook"): Returns the total number of price levels.
bid.orders: signature(object="orderbook"): Returns the number of bids.
ask.orders: signature(object="orderbook"): Returns the number of asks.
total.orders: signature(object="orderbook"): Returns the total number of orders.
mid.point: signature(object="orderbook"): Returns the midpoint between the best ask and the best bid.
inside.market: signature(object="orderbook"): Returns a data frame with a row for the best ask and a row for the best bid. The columns are price, size, and type.
spread: signature(object="orderbook"): Returns the spread between the best ask and best bid .
reset: signature(object="orderbook"): Reset the orderbook to its initial state.

Examples

Run this code

library(orderbook)

filename <- system.file("extdata", "sample.txt",
                        package = "orderbook")

ob <- orderbook(file = filename)
ob <- read.orders(ob, 500)

show(ob)
summary(ob)
display(ob)

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