[R-SIG-Finance] RFC - Limit Order Book Package
daniel.cegielka at gmail.com
Wed Jun 9 20:14:52 CEST 2010
Sample Order Book code you can find in QuickFAST package (FIX protocol engine).
W dniu 9 czerwca 2010 20:08 użytkownik Daniel Cegiełka
<daniel.cegielka at gmail.com> napisał:
> 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>:
>> 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
>> R-SIG-Finance at stat.math.ethz.ch mailing list
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