Hot answers tagged limit-order-book
If memory serves correctly, the cran package "orderbook" was for NYSE's TAQ (Transactions and Quotes) database. the limit order book is the aggregation of latent demand in the market. For you to construct the limit order book you face a few (!) challenges. 1) Parsing itch raw messages (casting in the case of version 5.0) and 2) constructing the actual ...
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