Скачать или смотреть LOBSTER ITCH Data Access in Python

In this video, we access ITCH order book data from the LOBSTER data service. This data contains bid and ask prices, order sizes, execution and market even information. Data as far back as 2007 and as recent as the day before yesterday is available from LOBSTER, and there are data samples available. Learn more about at lobsterdata.com

It really is a great resource to be familiar with, as a quant.

After loading the data and putting it together in a meaningful way, we do a brief exploration of Amazon trading on an arbitrary date.

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Cheers!

Credit to Gabi for the excellent drawing of a lobster in the thumbnail!