Analyzing an Electronic Limit Order Book

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.

David Kane , Andrew Liu , Khanh Nguyen


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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

  author = {Kane, David and Liu, Andrew and Nguyen, Khanh},
  title = {Analyzing an Electronic Limit Order Book},
  journal = {The R Journal},
  year = {2011},
  note = {},
  doi = {10.32614/RJ-2011-010},
  volume = {3},
  issue = {1},
  issn = {2073-4859},
  pages = {64-68}