Index

A

asks (lobster_reconstructor.orderbook.Orderbook attribute)

available_vol_at_price() (lobster_reconstructor.orderbook.Orderbook method)

B

bid_ask_spread() (lobster_reconstructor.orderbook.Orderbook method)

bids (lobster_reconstructor.orderbook.Orderbook attribute)

C

calc_count_OFI() (lobster_reconstructor.orderbook.Orderbook method) calc_size_OFI() (lobster_reconstructor.orderbook.Orderbook method) clear_orderbook() (lobster_reconstructor.orderbook.Orderbook method) clear_trade_log() (lobster_reconstructor.orderbook.Orderbook method) convert_orderbook_to_L2_dataframe() (lobster_reconstructor.orderbook.Orderbook method)

convert_orderbook_to_L3_dataframe() (lobster_reconstructor.orderbook.Orderbook method) count (lobster_reconstructor.ofi.OFIPair attribute), [1] count_OFI_graph() (lobster_reconstructor.lobster_sim.LobsterSim method) create_animated_L3_app() (lobster_reconstructor.lobster_sim.LobsterSim method) cum_OFI (lobster_reconstructor.orderbook.Orderbook attribute) curr_book_timestamp (lobster_reconstructor.orderbook.Orderbook attribute)

D

Da (lobster_reconstructor.ofi.OFI attribute), [1] dataM (lobster_reconstructor.lobster_sim.LobsterSim attribute) Db (lobster_reconstructor.ofi.OFI attribute), [1] depth_percentile_graph() (lobster_reconstructor.lobster_sim.LobsterSim method) direction (lobster_reconstructor.orders.LimitOrder attribute) (lobster_reconstructor.orders.Order attribute)

display_L2_order_book() (lobster_reconstructor.orderbook.Orderbook method) display_L2_snapshots() (lobster_reconstructor.lobster_sim.LobsterSim method) display_L3_order_book() (lobster_reconstructor.orderbook.Orderbook method) display_L3_snapshots() (lobster_reconstructor.lobster_sim.LobsterSim method)

E

event_type (lobster_reconstructor.orders.Order attribute)

F

format_timestamp() (in module lobster_reconstructor.utils)

G

graph_trade_arrival_time() (lobster_reconstructor.lobster_sim.LobsterSim method)

graph_trade_size_distribution() (lobster_reconstructor.lobster_sim.LobsterSim method)

H

highest_bid_price() (lobster_reconstructor.orderbook.Orderbook method)

highest_bid_volume() (lobster_reconstructor.orderbook.Orderbook method)

L

La (lobster_reconstructor.ofi.OFI attribute), [1] Lb (lobster_reconstructor.ofi.OFI attribute), [1] LimitOrder (class in lobster_reconstructor.orders) lobster_reconstructor.lobster_sim module lobster_reconstructor.ofi module lobster_reconstructor.orderbook module

lobster_reconstructor.orders module lobster_reconstructor.utils module LobsterSim (class in lobster_reconstructor.lobster_sim) lowest_ask_price() (lobster_reconstructor.orderbook.Orderbook method) lowest_ask_volume() (lobster_reconstructor.orderbook.Orderbook method)

M

Ma (lobster_reconstructor.ofi.OFI attribute), [1] MatchingError Mb (lobster_reconstructor.ofi.OFI attribute), [1] meta_orders() (lobster_reconstructor.orderbook.Orderbook method) mid_price() (lobster_reconstructor.orderbook.Orderbook method) midprice (lobster_reconstructor.orderbook.Orderbook attribute) midprice_change_timestamp (lobster_reconstructor.orderbook.Orderbook attribute)

midprice_graph() (lobster_reconstructor.lobster_sim.LobsterSim method) module lobster_reconstructor.lobster_sim lobster_reconstructor.ofi lobster_reconstructor.orderbook lobster_reconstructor.orders lobster_reconstructor.utils

O

OFI (class in lobster_reconstructor.ofi) OFIPair (class in lobster_reconstructor.ofi) opposite_side_book_depth() (lobster_reconstructor.orderbook.Orderbook method) Order (class in lobster_reconstructor.orders) order_id (lobster_reconstructor.orders.LimitOrder attribute) (lobster_reconstructor.orders.Order attribute)

order_sweeps() (lobster_reconstructor.orderbook.Orderbook method) Orderbook (class in lobster_reconstructor.orderbook) orderbook (lobster_reconstructor.lobster_sim.LobsterSim attribute) orderbook_price_range() (lobster_reconstructor.orderbook.Orderbook method)

P

plot_price_levels_heatmap() (lobster_reconstructor.lobster_sim.LobsterSim method) price (lobster_reconstructor.orders.LimitOrder attribute) (lobster_reconstructor.orders.Order attribute)

print_features_to_csv() (lobster_reconstructor.lobster_sim.LobsterSim method) process_order() (lobster_reconstructor.orderbook.Orderbook method)

R

reset() (lobster_reconstructor.ofi.OFI method) (lobster_reconstructor.ofi.OFIPair method)

reset_cum_OFI() (lobster_reconstructor.orderbook.Orderbook method)

S

same_side_book_depth() (lobster_reconstructor.orderbook.Orderbook method) sim_count_OFI() (lobster_reconstructor.lobster_sim.LobsterSim method) sim_size_OFI() (lobster_reconstructor.lobster_sim.LobsterSim method) simulate_from_current_until() (lobster_reconstructor.lobster_sim.LobsterSim method) simulate_until() (lobster_reconstructor.lobster_sim.LobsterSim method)

size (lobster_reconstructor.ofi.OFIPair attribute), [1] (lobster_reconstructor.orders.LimitOrder attribute) (lobster_reconstructor.orders.Order attribute) size_OFI_graph() (lobster_reconstructor.lobster_sim.LobsterSim method) symmetric_opposite_book_volume() (lobster_reconstructor.orderbook.Orderbook method)

T

time_elapsed_since_first_available_order_with_same_price() (lobster_reconstructor.orderbook.Orderbook method) time_elapsed_since_mid_price_change() (lobster_reconstructor.orderbook.Orderbook method) time_elapsed_since_most_recent_order_with_same_price() (lobster_reconstructor.orderbook.Orderbook method) timestamp (lobster_reconstructor.orders.LimitOrder attribute) (lobster_reconstructor.orders.Order attribute)

total_ask_volume() (lobster_reconstructor.orderbook.Orderbook method) total_bid_volume() (lobster_reconstructor.orderbook.Orderbook method) trade_log (lobster_reconstructor.orderbook.Orderbook attribute)

V

volume_of_higher_priority_orders() (lobster_reconstructor.orderbook.Orderbook method)

W

worst_ask_price() (lobster_reconstructor.orderbook.Orderbook method)

worst_bid_price() (lobster_reconstructor.orderbook.Orderbook method)