[R-SIG-Finance] RFC - Limit Order Book Package

Khanh Nguyen nguyen.h.khanh at gmail.com
Wed Jun 9 19:27:30 CEST 2010


I am working with Andraw Liu, under the supervision of David Kane and
Jeff Enos ("backtest" and "portfolio" packages) to create a Limit
Order Book package that will model a limit order book.

Our initial version of the package is on R-Forge at

We would appreciate suggestions and comments as to what functionality
the package should have. Currently, we have implemented the following

--- "show", "summary", "plot", "display",
--- "best.bid", "best.ask",
--- "bid.price.levels", "ask.price.levels", "total.price.levels",
--- "bid.orders", "ask.orders", "total.orders",
--- "mid.point", "inside.market", "spread", "snapshot",
---  "add.order", "remove.order", "replace.order", "market.order"

Additionally, we were wondering what a good name for the package would
be--Limit Order Book sounds kind of clunky and we were thinking that
maybe "order.book", "orderbook", "limitorderbook",  simply "lob" would
work better. Suggestions on that would be helpful too!

We will summarize any responses we receive and send an email to the
listserv in a week.


Andrew and Khanh

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