{"repo":"phil8192/ob-analytics","free":true,"listed":false,"github":"https://github.com/phil8192/ob-analytics","clone":"git clone https://github.com/phil8192/ob-analytics.git","description":"R package intended for visualisation, analysis and reconstruction of limit order book data","language":"R","stars":163,"topics":["trading","bitcoin","visualisation","limit-order-book","r"],"license":null,"category":"trading","readme_excerpt":"obAnalytics Limit Order Book event processing and visualisation. obAnalytics is an R package intended for visualisation and analysis of limit order data. The package is experimental and is based on the R code used to create the visualisations in this Limit Order Book Visualisation article. Installation CRAN Github Environment settings Due to the large number of columns in the example data, it is recommended to set the display width to make the most use of the display. It is also recommended to set digits.secs=3 and scipen=999 in order to display timestamps and fractions nicely. This can be achieved as follows: Example use Preprocessed limit order data from the inst/extdata directory has been included in the package. The data, taken from a Bitcoin exchange on 2015-05-01, consists of 50,393 limit order events and 482 trades occuring from midnight up until 5am. To use the data, attach it to the environment: The lob.data data structure contains 4 data.frames describing limit order events, trades, depth and summary statistics. All of which are described in detail in the package documentation. To visualise all of the example order book data, use the plotPriceLevels function: Web app An interactive interface making use of this package is available in the shiny-ob-analytics respository. Documentation Example use documentation has been created in R Markdown (see vignettes) directory. knitr is used to generate vignettes. roxygen2 is used to generate the pdf manual from code comments. E","default_branch":null,"files":null,"tree":[],"storefront":"/r/phil8192","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/phil8192/ob-analytics/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}