Limit Order Book Implementation

R implementation of a limit order book

Code contains 7 main functions:

1. book.total_volume()

Function calculating the total volume of the asking and bidding orders.

2. book.best_prices()

Function calculating the best available buying and selling orders.

3. book.midprice()

Function calculating the midprice between the best available buying and selling orders.

4. book.spread()

Function calculating the spread between the best available buying and selling orders.

Functions updating the order book:

5. book.reduce()

Function reducing the orders sizes.

6. book.add()

Function adding orders to the book size.

7. book.sort()

Function sorting orders in the book by their price.