orderbook (version 1.0)

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

ll{ 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: ll{ orderbook Using the orderbook package (source, pdf) }