voigtstefan/sp500
Dataset Card for SPY ETF High-frequency data This dataset was created by aggregating message-level observations for the ETF SPY which tracks the S&P 500 index. We retrieved and evaluate the entire available order book message history for the first 50 levels from July 1st 2007 to October 31st 2025. We restrict our analysis to order book activity during regular trading hours. Dataset Details Dataset Description We aggregate the order book messages… See the full description on the dataset page: https://huggingface.co/datasets/voigtstefan/sp500.
| Author / organization | voigtstefan |
|---|---|
| License (as declared) | mit |
| Downloads | 925 (as reported by Hugging Face) |
| Likes | 0 |
| Created | 5 January 2026 |
| Last updated at source | 25 February 2026 |
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- 17 Oct 2026 Description: Dataset Card for SPY ETF High-frequency data This dataset was created by aggregating message-level observations for the ETF SPY which tracks the S&P 500 index. We retrieved and evaluate the entire available order book message history for th → Dataset Card for SPY ETF High-frequency data This dataset was created by aggregating message-level observations for the ETF SPY which tracks the S&P 500 index. We retrieved and evaluate the entire available order book message history for th
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