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The R Journal
Article . 2011 . Peer-reviewed
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The R Journal
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Article . 2011
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Analyzing an Electronic Limit Order Book

Authors: Kane, David; Liu, Andrew; Nguyen, Khanh;

Analyzing an Electronic Limit Order Book

Abstract

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, e.g. a stock. A limit order is an order to buy or sell a given quantity of stock at a specified limit price or better. The size is the number of shares to be bought or sold. An order remains in the order book until fully executed, i.e. until its size is zero as a result of trades. Partial executions occur as a result of trades for less than the entire size of the order. Consider a simple order book containing five limit orders: sell 150 shares of IBM at $11.11, sell 150 shares of IBM at $11.08, buy 100 shares of IBM at $11.05, buy 200 shares of IBM at $11.05, and buy 200 shares of IBM at $11.01.

Country
United States
Related Organizations
Keywords

Programming Languages and Compilers, 330, Computer Sciences, Numerical Analysis and Scientific Computing

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2
Average
Average
Average
gold