orderbook (version 1.03)

orderbook-package: Analyze and visualize orderbook data.

Description

The orderbook package provides functions for exploring and visualizing orderbook data. For example, we may want to study an orderbook immediately before a trade occurs, or maybe 50 orders before a trade occurs, or we want to visualize the change of an orderbook overtime as the price level fluctuates. The insights from this sort of analysis can help in researching short-term trading strategies.

Details

Package:

orderbook

Type:

Package

Version:

1.0

Date:

2010-07-01

Depends:

R (>= 2.11.0), hash, methods, grid, lattice

License:

GPL (>= 2)

LazyLoad:

yes

Index:

orderbook			Creating an Object of class orderbook
orderbook-class			Class "orderbook"

Further information is available in the following vignettes:

orderbook

Using the orderbook package (source, pdf)