ob-analytics
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phil8192
R package intended for visualisation, analysis and reconstruction of limit order book data
First, thank you for such a useful package! I am not familiar to bitstamp data so have this question: I assume extdata/2015-05-01.log.xz is the raw market data recording, it already...
Bitstamp provides APIs for Live Orders and Live Ticker (i.e. trades) as described [here ](https://www.bitstamp.net/websocket/). Sometimes Live Orders API outputs incorrect data as shown below. Here is the trade record...
These orders are shown as long stripes:  The picture showing correct 'depth': 
An order that started out as a market order, came to rest in the order book and has not been filled since then is classified as 'market' instead of 'market-limit'
Below is an excerpt from ["Example limit order book data"](https://github.com/phil8192/ob-analytics/blob/master/man/lob.data.Rd) (`lob.data$events`) showing 'changed' events for 'market' orders that do not have a corresponding limit order event (`matching.event` equals NA): 
``` processing 2017-07-05.csv... Warning messages: 1: In matchTrades(events) : 07/05/17 : 1 jumps > $10 (swaping makers with takers) 2: In deleted[deleted$id %in% created.deleted.ids, ]$volume == created[created$id %in% : longer...
https://www.iextrading.com/trading/alerts/2017/011/ recently made available by IEX, full depth of their order book.
