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  ---
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- license: mit
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- viewer: false
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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  ---
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  # LOBSTER Sample Data
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- Raw LOBSTER (Limit Order Book System) L3 order book data for June 21, 2012.
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- **Important:** These are raw CSV files without headers. They cannot be automatically loaded by HuggingFace viewers. Use the loading code below with custom schemas.
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- ## Available Datasets
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  - **AAPL**: 1, 5, 10, 30, 50 levels
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- - **AMZN**: 1, 5, 10 levels
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  - **GOOG**: 1, 5, 10 levels
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  - **INTC**: 1, 5, 10 levels
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  - **MSFT**: 1, 5, 10, 30, 50 levels
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  - **SPY**: 30, 50 levels
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  ## File Structure
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- 1. **Message file** (`*_message_*.csv`): Order book events (6 columns, no header)
 
 
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  - Columns: time, event_type, order_id, size, price, direction
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  - Types: 1=New, 2=Cancel, 3=Delete, 4=Exec(Visible), 5=Exec(Hidden), 7=Halt
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- 2. **Orderbook file** (`*_orderbook_*.csv`): Order book snapshots (4N columns, no header)
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  - Columns: ask_price_1, ask_size_1, bid_price_1, bid_size_1, ... (up to N levels)
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  - Prices in fixed-point (multiply by 10^-4)
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  ## Usage
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  ```python
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- from huggingface_hub import hf_hub_download
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- import polars as pl
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-
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- message_file = hf_hub_download(
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- repo_id="totalorganfailure/lobster-data",
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- filename="LOBSTER_SampleFile_AAPL_2012-06-21_50/AAPL_2012-06-21_34200000_37800000_message_50.csv",
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- repo_type="dataset"
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- )
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-
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- # Define schema for message file
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- MESSAGE_SCHEMA = {
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- "time": pl.Float64,
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- "type": pl.Int8,
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- "order_id": pl.Int64,
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- "size": pl.Int32,
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- "price": pl.Int64,
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- "direction": pl.Int8,
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- }
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-
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- messages = pl.read_csv(message_file, has_header=False, schema=MESSAGE_SCHEMA)
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  ```
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- ## More Information
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- - https://lobsterdata.com/
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- - https://lobsterdata.com/info/DataSamples.php
 
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  ---
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+ configs:
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+ - config_name: AAPL_1levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_1/*_message_1.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_1/*_orderbook_1.csv"
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+ - config_name: AAPL_5levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_5/*_message_5.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_5/*_orderbook_5.csv"
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+ - config_name: AAPL_10levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_10/*_message_10.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_10/*_orderbook_10.csv"
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+ - config_name: AAPL_30levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_30/*_message_30.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_30/*_orderbook_30.csv"
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+ - config_name: AAPL_50levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_50/*_message_50.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AAPL_2012-06-21_50/*_orderbook_50.csv"
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+ - config_name: AMZN_1levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_1/*_message_1.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_1/*_orderbook_1.csv"
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+ - config_name: AMZN_5levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_5/*_message_5.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_5/*_orderbook_5.csv"
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+ - config_name: AMZN_10levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_10/*_message_10.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_AMZN_2012-06-21_10/*_orderbook_10.csv"
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+ - config_name: GOOG_1levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_1/*_message_1.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_1/*_orderbook_1.csv"
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+ - config_name: GOOG_5levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_5/*_message_5.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_5/*_orderbook_5.csv"
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+ - config_name: GOOG_10levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_10/*_message_10.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_GOOG_2012-06-21_10/*_orderbook_10.csv"
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+ - config_name: INTC_1levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_1/*_message_1.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_1/*_orderbook_1.csv"
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+ - config_name: INTC_5levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_5/*_message_5.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_5/*_orderbook_5.csv"
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+ - config_name: INTC_10levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_10/*_message_10.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_INTC_2012-06-21_10/*_orderbook_10.csv"
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+ - config_name: MSFT_1levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_1/*_message_1.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_1/*_orderbook_1.csv"
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+ - config_name: MSFT_5levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_5/*_message_5.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_5/*_orderbook_5.csv"
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+ - config_name: MSFT_10levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_10/*_message_10.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_10/*_orderbook_10.csv"
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+ - config_name: MSFT_30levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_30/*_message_30.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_30/*_orderbook_30.csv"
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+ - config_name: MSFT_50levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_50/*_message_50.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_MSFT_2012-06-21_50/*_orderbook_50.csv"
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+ - config_name: SPY_30levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_SPY_2012-06-21_30/*_message_30.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_SPY_2012-06-21_30/*_orderbook_30.csv"
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+ - config_name: SPY_50levels
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+ data_files:
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+ - split: message
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+ path: "LOBSTER_SampleFile_SPY_2012-06-21_50/*_message_50.csv"
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+ - split: orderbook
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+ path: "LOBSTER_SampleFile_SPY_2012-06-21_50/*_orderbook_50.csv"
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  ---
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  # LOBSTER Sample Data
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+ LOBSTER (Limit Order Book System) sample L3 order book data for June 21, 2012.
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+ ## Dataset Description
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+ LOBSTER provides limit order book data from NASDAQ TotalView-ITCH messages.
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  - **AAPL**: 1, 5, 10, 30, 50 levels
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+ - **AMZN**: 1, 5, 10 levels
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  - **GOOG**: 1, 5, 10 levels
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  - **INTC**: 1, 5, 10 levels
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  - **MSFT**: 1, 5, 10, 30, 50 levels
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  - **SPY**: 30, 50 levels
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+ ## Configurations
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+
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+ Each ticker/level combination has its own configuration with two splits:
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+ - **message**: Order book events (time-series of market events)
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+ - **orderbook**: Order book snapshots at each event time
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+
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  ## File Structure
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154
+ Each ticker has two CSV files:
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+
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+ 1. **Message file** (`*_message_*.csv`): Order book events
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  - Columns: time, event_type, order_id, size, price, direction
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  - Types: 1=New, 2=Cancel, 3=Delete, 4=Exec(Visible), 5=Exec(Hidden), 7=Halt
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160
+ 2. **Orderbook file** (`*_orderbook_*.csv`): Order book snapshots
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  - Columns: ask_price_1, ask_size_1, bid_price_1, bid_size_1, ... (up to N levels)
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  - Prices in fixed-point (multiply by 10^-4)
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164
  ## Usage
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166
  ```python
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+ from datasets import load_dataset
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+
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+ # Load a specific ticker configuration
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+ dataset = load_dataset("your-username/lobster-sample-data", "AAPL_10levels")
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+
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+ # Access message data
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+ messages = dataset["message"]
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+
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+ # Access orderbook data
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+ orderbooks = dataset["orderbook"]
 
 
 
 
 
 
 
 
 
 
177
  ```
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+ ## Source
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+ Data provided by [LOBSTER](https://lobsterdata.com/) - Limited Order Book System.