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phil8192
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ob-analytics
R package intended for visualisation, analysis and reconstruction of limit order book data
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why do we need to infer the trades from orders? the log already has them
#31
ssh352
opened
4 years ago
1
Correct price labels for cheap (less than $1) curriencies
#30
petr-fedorov
closed
5 years ago
2
Closes #25
#29
petr-fedorov
closed
6 years ago
1
Bitstamp's Live Orders API is not reliable for identification of trades
#28
petr-fedorov
opened
6 years ago
7
priceLevelVolume() overlooks price change of order so their volume remains in 'depth' indefinitely
#27
petr-fedorov
opened
6 years ago
0
Sometimes processData() does not correctly classify 'market' and 'market-limit' orders
#26
petr-fedorov
opened
6 years ago
2
processData() will not work correctly if 'volume' in the .csv input file is not integer
#25
petr-fedorov
closed
6 years ago
0
processData() does not always match a 'market' order with an appropriate 'limit' order so some trades are lost
#24
petr-fedorov
opened
6 years ago
0
Some usability improvements of plotPriceLevels()
#23
petr-fedorov
closed
6 years ago
2
Some usability improvements of plotPriceLevels()
#22
petr-fedorov
closed
6 years ago
1
Fixes display of the cumulative sum of the bid volume by plotCurrentDepth()
#21
petr-fedorov
closed
6 years ago
1
orderBook() selects the latest event for an order by timestamp instead of volume
#20
petr-fedorov
closed
6 years ago
1
make work with GetHFData package
#19
phil8192
opened
6 years ago
0
longer object length is not a multiple of shorter object length
#18
phil8192
opened
7 years ago
0
IEX's publicly available depth-of-book feed as an alternate data source
#17
salsferrazza
opened
7 years ago
1
argument is of length zero
#16
phil8192
closed
7 years ago
0
depthMetrics() implementation
#15
phil8192
closed
7 years ago
0
missing timestamps
#14
phil8192
closed
7 years ago
0
error in processData()
#13
phil8192
closed
8 years ago
0
Trade jumps
#12
phil8192
closed
9 years ago
0
Event map
#11
phil8192
closed
9 years ago
0
Automate event detection
#10
phil8192
closed
7 years ago
0
Graph themes
#9
phil8192
closed
7 years ago
0
Order flow, imbalance etc
#8
phil8192
closed
7 years ago
0
Visualise "strategic runs"
#7
phil8192
closed
7 years ago
0
Link created orders to previously cancelled orders
#6
phil8192
closed
7 years ago
0
Add limit order age and event counts to summary statistics
#5
phil8192
closed
7 years ago
0
Refactor time, price, volume filtering
#4
phil8192
closed
7 years ago
0
Rcpp needleman-wunsch.R
#3
phil8192
closed
7 years ago
0
Clean up summary statistics code in depth.R
#2
phil8192
closed
7 years ago
0
Exported function sanity checking
#1
phil8192
closed
7 years ago
0