How can I extract LOSBTER Limit Order Book?

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!

Answer 1

[David Resendes]

Francesco,

The Financial Toolbox documentation has a series of examples showing machine learning techniques for statistical arbitrage, which analyze the LOBSTER data.

Machine Learning for Statistical Arbitrage: Introduction

Machine Learning for Statistical Arbitrage I: Data Management and Visualization

Machine Learning for Statistical Arbitrage II: Feature Engineering and Model Development

Machine Learning for Statistical Arbitrage III: Training, Tuning, and Prediction

The "Data Management and Visualization" example shows how to calculate the market orders.