What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for software help? I've not found anything off the shelf, but I'm curious if others in this community might know of something. My preference is for free/open source that are available for R or Python, but commercial tools are acceptable as well. My wish list would look something like this:
- Order book visualization. Show the bids and asks in standard book form.
- Order by order or level aggregation.
- Order tracking through time.
- "VCR style" controls that allow one to easily scan through the book across time.
- Multiple venue support. Depth of book data from more than one venue is maintained as a separate book for a given instrument, but an aggregated "virtual" book can be displayed.
- Descriptive statistics could be calculated across arbitrary time periods (# of orders added, deleted, etc.
Any suggestions on tools that might help in this type of analysis are welcome as are suggestions of features not listed here but that are provided by software packages available today.
Answer
I don't know why it was removed, but the R package "orderbook" was available:
http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf
http://cran.r-project.org/web/packages/orderbook/index.html
In the IBrokers package, the function "reqMktDepth" is used for streaming order book data.
http://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf
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