README.md

---
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:

1. **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

2. **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

```python
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](https://lobsterdata.com/) - Limited Order Book System.