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

Daniel Cegiełka daniel.cegielka at gmail.com
Wed Jun 9 20:08:15 CEST 2010

It's interesting. Jeff Ryan plan to add Order Book in to IBrokers package.


In quantstrat package you can find some "??order book??" for
placeOrder() function. I think it will be nice if this limitob could
be easily integrated with this kind off packages.



2010/6/9 Khanh Nguyen <nguyen.h.khanh at gmail.com>:
> Hello,
> 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
> https://r-forge.r-project.org/projects/limitob/
> We would appreciate suggestions and comments as to what functionality
> the package should have. Currently, we have implemented the following
> functions
> --- "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.
> Regards,
> Andrew and Khanh
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