y7pan/lobster-data

LOBSTER Sample Data LOBSTER (Limit Order Book System) sample L3 order book data for June 21, 2012. Dataset Description LOBSTER provides limit order book data from NASDAQ TotalView-ITCH messages. AAPL: 1, 5, 10, 30, 50 levels AMZN: 1, 5, 10 levels GOOG: 1, 5, 10 levels INTC: 1, 5, 10 levels MSFT: 1, 5, 10, 30, 50 levels SPY: 30, 50 levels Configurations Each ticker/level combination has its own configuration with two splits: message: Order book… See the full description on the dataset page: https://huggingface.co/datasets/y7pan/lobster-data.

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