totalorganfailure/

lobster-data

LOBSTER (Limit Order Book System) sample L3 order book data for June 21, 2012.

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

Each ticker/level combination has its own configuration with two splits:

message: Order book events… See the full description on the dataset page: https://huggingface.co/datasets/totalorganfailure/lobster-data.