Recreating the LOB
This article is originally published at http://msperlin.github.ioUpdate to GetHFData (Version 1.4) -
GetHFData newest version (1.4) allows the recreation of the LOB (limit order book) based on order data. A limit order book is the standard format that trading occurs in most exchanges. Order are sent and executed whenever there is a match of order prices from sellers and buyers. Recreating the LOB is a recursive problem where all trading orders must be sorted, added and organized into a LOB object. Based on the LOB, we have information about the mid quote, best bid/ask, spread and LOB depth. These variables are usually used in studies regarding market liquidity.
I want to thank Prof. Satchit Sagade and House of Finance - Goethe Uni for inviting me as a visiting researcher in June 2017. Not only I had a wonderful time there, most of the code for the LOB reconstruction was developed during my stay.
Be aware that recreating the LOB is a computer intensive problem. The current code is not optimized for speed and may take a long time to finish, even for a few periods of trading days. Here’s an example of usage for the new code:
library(GetHFData) first.time <- '10:00:00' last.time <- '17:00:00' first.date <- '2015-08-18' last.date <- '2015-08-18' type.output <- 'raw' my.assets <- 'PETR4F' type.matching <- 'exact' type.market = 'equity-odds' type.data <- 'orders' df.out <- ghfd_get_HF_data(my.assets =my.assets, type.data= type.data, type.matching = type.matching, type.market = type.market, first.date = first.date, last.date = last.date, first.time = first.time, last.time = last.time, type.output = type.output) df.lob <- ghfd_build_lob(df.out)
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