phil8192 ob-analytics issues

phil8192 / ob-analytics

R package intended for visualisation, analysis and reconstruction of limit order book data

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issues

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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 5 years ago
1
Bitstamp's Live Orders API is not reliable for identification of trades

#28 petr-fedorov opened 5 years ago
7
priceLevelVolume() overlooks price change of order so their volume remains in 'depth' indefinitely

#27 petr-fedorov opened 5 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 5 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 7 years ago
0
Trade jumps

#12 phil8192 closed 8 years ago
0
Event map

#11 phil8192 closed 8 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