# Getting started
<!-- WARNING: THIS FILE WAS AUTOGENERATED! DO NOT EDIT! -->
## Install
``` sh
$ pip install lobster-tools
```
## How to use
``` python
data = Data(ticker="AMZN", date_range="2012-06-21", load="both")
lobster = Lobster(data=data)
```
/nfs/home/nicolasp/anaconda3/envs/lob/lib/python3.11/site-packages/lobster_tools/preprocessing.py:320: FutureWarning: Setting an item of incompatible dtype is deprecated and will raise in a future error of pandas. Value '[]' has dtype incompatible with int8, please explicitly cast to a compatible dtype first.
df.loc[df.event.eq(Event.ORIGINAL_TRADING_HALT.value), "event"] = df.loc[
``` python
lobster.messages.head()
```
| | time | event | order_id | size | price | direction |
|-------------------------------|--------------|-------|----------|------|--------|-----------|
| datetime | | | | | | |
| 2012-06-21 09:30:00.017459617 | 34200.017460 | 5 | 0 | 1 | 223.82 | -1 |
| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 11885113 | 21 | 223.81 | 1 |
| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 3911376 | 20 | 223.96 | -1 |
| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 11534792 | 100 | 223.75 | 1 |
| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 1365373 | 13 | 224.00 | -1 |
``` python
lobster.book.head()
```
| | ask_price_1 | ask_size_1 | bid_price_1 | bid_size_1 | ask_price_2 | ask_size_2 | bid_price_2 | bid_size_2 | ask_price_3 | ask_size_3 | bid_price_3 | bid_size_3 | ask_price_4 | ask_size_4 | bid_price_4 | bid_size_4 | ask_price_5 | ask_size_5 | bid_price_5 | bid_size_5 |
|-------------------------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| datetime | | | | | | | | | | | | | | | | | | | | |
| 2012-06-21 09:30:00.017459617 | 223.95 | 100.0 | 223.18 | 100.0 | 223.99 | 100.0 | 223.07 | 200.0 | 224.00 | 220.0 | 223.04 | 100.0 | 224.25 | 100.0 | 223.00 | 10.0 | 224.40 | 547.0 | 222.62 | 100.0 |
| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 220.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 | 224.40 | 547.0 | 223.00 | 10.0 |
| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.18 | 100.0 | 223.99 | 100.0 | 223.07 | 200.0 | 224.00 | 220.0 | 223.04 | 100.0 | 224.25 | 100.0 | 223.00 | 10.0 |
| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.75 | 100.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 220.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 |
| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.75 | 100.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 233.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 |
``` python
(
lobster.messages.query(f"event == {Event.HIDDEN_EXECUTION.value}")
.query(f"direction == -1")
.head()
)
```
| | time | event | order_id | size | price | direction |
|-------------------------------|--------------|-------|----------|------|--------|-----------|
| datetime | | | | | | |
| 2012-06-21 09:30:00.017459617 | 34200.017460 | 5 | 0 | 1 | 223.82 | -1 |
| 2012-06-21 09:30:00.372779672 | 34200.372780 | 5 | 0 | 100 | 223.84 | -1 |
| 2012-06-21 09:30:00.375671205 | 34200.375671 | 5 | 0 | 100 | 223.84 | -1 |
| 2012-06-21 09:30:00.383971366 | 34200.383971 | 5 | 0 | 100 | 223.86 | -1 |
| 2012-06-21 09:30:00.385815710 | 34200.385816 | 5 | 0 | 100 | 223.86 | -1 |
Raw data
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"description": "# Getting started\n\n\n<!-- WARNING: THIS FILE WAS AUTOGENERATED! DO NOT EDIT! -->\n\n## Install\n\n``` sh\n$ pip install lobster-tools\n```\n\n## How to use\n\n``` python\ndata = Data(ticker=\"AMZN\", date_range=\"2012-06-21\", load=\"both\")\nlobster = Lobster(data=data)\n```\n\n /nfs/home/nicolasp/anaconda3/envs/lob/lib/python3.11/site-packages/lobster_tools/preprocessing.py:320: FutureWarning: Setting an item of incompatible dtype is deprecated and will raise in a future error of pandas. Value '[]' has dtype incompatible with int8, please explicitly cast to a compatible dtype first.\n df.loc[df.event.eq(Event.ORIGINAL_TRADING_HALT.value), \"event\"] = df.loc[\n\n``` python\nlobster.messages.head()\n```\n\n| | time | event | order_id | size | price | direction |\n|-------------------------------|--------------|-------|----------|------|--------|-----------|\n| datetime | | | | | | |\n| 2012-06-21 09:30:00.017459617 | 34200.017460 | 5 | 0 | 1 | 223.82 | -1 |\n| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 11885113 | 21 | 223.81 | 1 |\n| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 3911376 | 20 | 223.96 | -1 |\n| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 11534792 | 100 | 223.75 | 1 |\n| 2012-06-21 09:30:00.189607670 | 34200.189608 | 1 | 1365373 | 13 | 224.00 | -1 |\n\n``` python\nlobster.book.head()\n```\n\n| | ask_price_1 | ask_size_1 | bid_price_1 | bid_size_1 | ask_price_2 | ask_size_2 | bid_price_2 | bid_size_2 | ask_price_3 | ask_size_3 | bid_price_3 | bid_size_3 | ask_price_4 | ask_size_4 | bid_price_4 | bid_size_4 | ask_price_5 | ask_size_5 | bid_price_5 | bid_size_5 |\n|-------------------------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|\n| datetime | | | | | | | | | | | | | | | | | | | | |\n| 2012-06-21 09:30:00.017459617 | 223.95 | 100.0 | 223.18 | 100.0 | 223.99 | 100.0 | 223.07 | 200.0 | 224.00 | 220.0 | 223.04 | 100.0 | 224.25 | 100.0 | 223.00 | 10.0 | 224.40 | 547.0 | 222.62 | 100.0 |\n| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 220.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 | 224.40 | 547.0 | 223.00 | 10.0 |\n| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.18 | 100.0 | 223.99 | 100.0 | 223.07 | 200.0 | 224.00 | 220.0 | 223.04 | 100.0 | 224.25 | 100.0 | 223.00 | 10.0 |\n| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.75 | 100.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 220.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 |\n| 2012-06-21 09:30:00.189607670 | 223.95 | 100.0 | 223.81 | 21.0 | 223.96 | 20.0 | 223.75 | 100.0 | 223.99 | 100.0 | 223.18 | 100.0 | 224.00 | 233.0 | 223.07 | 200.0 | 224.25 | 100.0 | 223.04 | 100.0 |\n\n``` python\n(\n lobster.messages.query(f\"event == {Event.HIDDEN_EXECUTION.value}\")\n .query(f\"direction == -1\")\n .head()\n)\n```\n\n| | time | event | order_id | size | price | direction |\n|-------------------------------|--------------|-------|----------|------|--------|-----------|\n| datetime | | | | | | |\n| 2012-06-21 09:30:00.017459617 | 34200.017460 | 5 | 0 | 1 | 223.82 | -1 |\n| 2012-06-21 09:30:00.372779672 | 34200.372780 | 5 | 0 | 100 | 223.84 | -1 |\n| 2012-06-21 09:30:00.375671205 | 34200.375671 | 5 | 0 | 100 | 223.84 | -1 |\n| 2012-06-21 09:30:00.383971366 | 34200.383971 | 5 | 0 | 100 | 223.86 | -1 |\n| 2012-06-21 09:30:00.385815710 | 34200.385816 | 5 | 0 | 100 | 223.86 | -1 |\n",
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