R: Limit Order Book Analytics

# Limit Order Book Analytics

## Documentation for package ‘obAnalytics’ version 0.1.1

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package README

## Help Pages

obAnalytics-package | obAnalytics.
depth | Depth.
depth.summary | Depth summary.
events | Limit order events.
filterDepth | Filter price level volume.
getSpread | Get the spread.
loadData | Load pre-processed data.
lob.data | Example limit order book data.
obAnalytics | obAnalytics.
orderBook | Instantaneous limit order book reconstruction.
plotCurrentDepth | Visualise order book depth at any given point in time.
plotEventMap | Plot limit order event map.
plotEventsHistogram | Plot a histogram given event data.
plotPriceLevels | Plot order book price level heat map.
plotTimeSeries | General purpose time series plot.
plotTrades | plotTrades.
plotVolumeMap | Visualise flashed-limit order volume.
plotVolumePercentiles | Visualise available limit order book liquidity through time.
processData | Import CSV file.
saveData | Save processed data.
tradeImpacts | Trade impacts.
trades | Trades.