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license: mit |
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This dataset was presented in [TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data](https://huggingface.co/papers/2502.15757) |
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Code: https://github.com/LeonardoBerti00/TLOB |
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TRADES-LOB: a new synthetic LOB dataset: |
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In market microstructure research, one major problem is the unavailability of a large LOB dataset. The only TRADES-LOB comprises simulated TRADES market data fmany and Intel for two |
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days. Specifically, the dataset is structured into four CSV files, each containing 50 columns. The initial six columns delineate the order features, followed by 40 columns that represent a snapshot of the |
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LOB across the top 10 levels. The concluding four columns provide key financial metrics: mid-price, spread, order volume imbalance, and Volume-Weighted Average Price (VWAP), which can be useful |
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for downstream financial tasks, such as stock price prediction. In total, the dataset is composed of 265,986 rows and 13,299,300 cells, which is similar in size to the benchmark FI-2010 dataset. |
