The orderbook package provides facilities for exploring and visualizing the data associated with an order book: the electronic collection of the outstanding limit orders for a financial instrument. This article provides an overview of the orderbook package and examples of its use.
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For attribution, please cite this work as
Kane, et al., "Analyzing an Electronic Limit Order Book", The R Journal, 2011
BibTeX citation
@article{RJ-2011-010,
author = {Kane, David and Liu, Andrew and Nguyen, Khanh},
title = {Analyzing an Electronic Limit Order Book},
journal = {The R Journal},
year = {2011},
note = {https://doi.org/10.32614/RJ-2011-010},
doi = {10.32614/RJ-2011-010},
volume = {3},
issue = {1},
issn = {2073-4859},
pages = {64-68}
}