From the website https://www.algoseek.com/equities/, we can get a sample of the full depth market/tick data. From the paper https://arxiv.org/pdf/1710.03870.pdf page 8, I would like to extract the market orders and limit orders separately with timestamp of 1 second . Is it possible to do such a thing? If so, how?
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1$\begingroup$ I'm voting to close this question as off-topic because this is a programming question. $\endgroup$ – Helin Aug 9 '18 at 23:40
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$\begingroup$ @Helin This is not programming question. I asked theorically how to do it. $\endgroup$ – user1050421 Aug 9 '18 at 23:42
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$\begingroup$ You've asked basically the same question 4 times, voting to close $\endgroup$ – Kch Aug 10 '18 at 1:07
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1$\begingroup$ I'm voting to close this question as off-topic because its a programming question, or a data request question, or the same question thats been asked by the same user lots more times $\endgroup$ – Attack68♦ Aug 10 '18 at 18:56
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download the data
open Jupyter Notebook
import pandas as pd
data = pd.read_csv('IBM.FullDepth.20140128.csv', parse_dates=[['Date', 'Timestamp']])
data['EventType'].unique()
array(['ADD BID', 'ADD ASK', 'DELETE ASK', 'DELETE BID', 'TRADE ASK', 'EXECUTE BID', 'FILL BID', 'TRADE BID', 'FILL ASK', 'EXECUTE ASK', 'CROSS', 'CANCEL ASK', 'CANCEL BID'], dtype=object)
grouped = data.groupby(pd.Grouper(key='Date_Timestamp', freq='1s')) groups = grouped.groups keys = list(groups.keys()) df=grouped.get_group(keys[0]) df[df.EventType=='ADD BID']
