GetQueueLength: Retrieve Length of Quening Orders at Given Price
Description
Buy order should queue at bid prices, while sell order should queue at ask prices.
Usage
GetQueueLength(dir = dir, date, orderTime, ticker, limitPrice, CALL, position = 1, market = 'SHSZ')
Arguments
dir
The directory containing the Tick data.
date
date of the tick data.
orderTime
timestamp of the order queue.
ticker
ticker of the tick data.
limitPrice
the price level of the queue.
CALL
sell order or buy order.
position
position is between 0 and 1, indicating the relative
position of the current order in the queue.
market
specifying the sub-function to call depending on the market.
Value
An integer indicating the queue length, or 0 if no entry satisfy the given conditions.