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phil8192 / ob-analytics

R package intended for visualisation, analysis and reconstruction of limit order book data
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missing timestamps #14

Closed phil8192 closed 7 years ago

phil8192 commented 7 years ago 
Error: all(orders$timestamp %in% depth.summary$timestamp) is not TRUE
In addition: Warning messages:
1: In removeDuplicates(events) :
  removed 3 duplicate order cancellations: 195347950 195547832 195561334
2: In matchTrades(events) :
  03/10/17 : 226 jumps > $10 (swaping makers with takers)
3: In setOrderTypes(events, trades) : could not identify 6213 orders
4: In processData(paste0("csv/", day, ".csv")) :
  removed 1 duplicated updates
Execution halted