How can I extract LOSBTER Limit Order Book?
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Francesco
am 17 Mai 2021
Bearbeitet: Francesco
am 17 Feb. 2023
Hello! I am working with high frequency data from LOBSTER dataset (LOBSTER | high quality limit order book data. (lobsterdata.com)).
I have the message book:

and the corresponding Limit Order Book:

I do not understand how can I find the "time series" of the Market Orders (i.e. orders to buy/sell a the best available price).
Could someone help me by giving me some suggestions on how to extrapolate market orders with a code in MATLAB?
Thank you in advance!
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David Resendes
am 8 Apr. 2022
Francesco,
The Financial Toolbox documentation has a series of examples showing machine learning techniques for statistical arbitrage, which analyze the LOBSTER data.
The "Data Management and Visualization" example shows how to calculate the market orders.
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