[R-SIG-Finance] Update on Limit Orderbook Package

Andrew Liu Andrew.T.Liu at williams.edu
Fri Jul 2 21:51:45 CEST 2010


We are now complete with most of the basic functionality of the 
orderbook package and would especially love for people to take a look at 
some of our visualizations and give us comments and suggestions, as well 
as ideas for other good visualizations of an orderbook. The following 
commands will take you through the 3 plots we currently have.

install.packages("orderbook", repos="http://R-Forge.R-project.org")
file <- paste(.libPaths(), "orderbook", "data", "sample.txt", sep = "/")
ob <- orderbook(file = file)
ob <- read.time(ob, "9:30:00")
plot(ob, type = "o")
plot(ob, type = "s")


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