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metadata

configs:
  - config_name: AAPL_1levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AAPL_2012-06-21_1/*_message_1.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AAPL_2012-06-21_1/*_orderbook_1.csv
  - config_name: AAPL_5levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AAPL_2012-06-21_5/*_message_5.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AAPL_2012-06-21_5/*_orderbook_5.csv
  - config_name: AAPL_10levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AAPL_2012-06-21_10/*_message_10.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AAPL_2012-06-21_10/*_orderbook_10.csv
  - config_name: AAPL_30levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AAPL_2012-06-21_30/*_message_30.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AAPL_2012-06-21_30/*_orderbook_30.csv
  - config_name: AAPL_50levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AAPL_2012-06-21_50/*_message_50.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AAPL_2012-06-21_50/*_orderbook_50.csv
  - config_name: AMZN_1levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AMZN_2012-06-21_1/*_message_1.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AMZN_2012-06-21_1/*_orderbook_1.csv
  - config_name: AMZN_5levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AMZN_2012-06-21_5/*_message_5.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AMZN_2012-06-21_5/*_orderbook_5.csv
  - config_name: AMZN_10levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_AMZN_2012-06-21_10/*_message_10.csv
      - split: orderbook
        path: LOBSTER_SampleFile_AMZN_2012-06-21_10/*_orderbook_10.csv
  - config_name: GOOG_1levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_GOOG_2012-06-21_1/*_message_1.csv
      - split: orderbook
        path: LOBSTER_SampleFile_GOOG_2012-06-21_1/*_orderbook_1.csv
  - config_name: GOOG_5levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_GOOG_2012-06-21_5/*_message_5.csv
      - split: orderbook
        path: LOBSTER_SampleFile_GOOG_2012-06-21_5/*_orderbook_5.csv
  - config_name: GOOG_10levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_GOOG_2012-06-21_10/*_message_10.csv
      - split: orderbook
        path: LOBSTER_SampleFile_GOOG_2012-06-21_10/*_orderbook_10.csv
  - config_name: INTC_1levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_INTC_2012-06-21_1/*_message_1.csv
      - split: orderbook
        path: LOBSTER_SampleFile_INTC_2012-06-21_1/*_orderbook_1.csv
  - config_name: INTC_5levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_INTC_2012-06-21_5/*_message_5.csv
      - split: orderbook
        path: LOBSTER_SampleFile_INTC_2012-06-21_5/*_orderbook_5.csv
  - config_name: INTC_10levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_INTC_2012-06-21_10/*_message_10.csv
      - split: orderbook
        path: LOBSTER_SampleFile_INTC_2012-06-21_10/*_orderbook_10.csv
  - config_name: MSFT_1levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_MSFT_2012-06-21_1/*_message_1.csv
      - split: orderbook
        path: LOBSTER_SampleFile_MSFT_2012-06-21_1/*_orderbook_1.csv
  - config_name: MSFT_5levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_MSFT_2012-06-21_5/*_message_5.csv
      - split: orderbook
        path: LOBSTER_SampleFile_MSFT_2012-06-21_5/*_orderbook_5.csv
  - config_name: MSFT_10levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_MSFT_2012-06-21_10/*_message_10.csv
      - split: orderbook
        path: LOBSTER_SampleFile_MSFT_2012-06-21_10/*_orderbook_10.csv
  - config_name: MSFT_30levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_MSFT_2012-06-21_30/*_message_30.csv
      - split: orderbook
        path: LOBSTER_SampleFile_MSFT_2012-06-21_30/*_orderbook_30.csv
  - config_name: MSFT_50levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_MSFT_2012-06-21_50/*_message_50.csv
      - split: orderbook
        path: LOBSTER_SampleFile_MSFT_2012-06-21_50/*_orderbook_50.csv
  - config_name: SPY_30levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_SPY_2012-06-21_30/*_message_30.csv
      - split: orderbook
        path: LOBSTER_SampleFile_SPY_2012-06-21_30/*_orderbook_30.csv
  - config_name: SPY_50levels
    data_files:
      - split: message
        path: LOBSTER_SampleFile_SPY_2012-06-21_50/*_message_50.csv
      - split: orderbook
        path: LOBSTER_SampleFile_SPY_2012-06-21_50/*_orderbook_50.csv

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 events (time-series of market events)
orderbook: Order book snapshots at each event time

File Structure

Each ticker has two CSV files:

Message file (*_message_*.csv): Order book events
- Columns: time, event_type, order_id, size, price, direction
- Types: 1=New, 2=Cancel, 3=Delete, 4=Exec(Visible), 5=Exec(Hidden), 7=Halt
Orderbook file (*_orderbook_*.csv): Order book snapshots
- Columns: ask_price_1, ask_size_1, bid_price_1, bid_size_1, ... (up to N levels)
- Prices in fixed-point (multiply by 10^-4)

Usage

from datasets import load_dataset

# Load a specific ticker configuration
dataset = load_dataset("your-username/lobster-sample-data", "AAPL_10levels")

# Access message data
messages = dataset["message"]

# Access orderbook data
orderbooks = dataset["orderbook"]

Source

Data provided by LOBSTER - Limited Order Book System.