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, 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.