Monthly Archives: May 2020

Read Parquet in R

The new LOBSTER engine working on AWS cloud, can output order book data in either Parquet or CSV format . For the sake of efficiency, it outputs Parquet file by default. For Spark and Python users, loading the parquet files … Continue reading

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Clawing in the Jungle

Arnaud Amsellem just publishes an exciting research  using LOBSTER data.  – Using random forest to model limit order book dynamic

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