Based on the Consolidated Quote (CQ) dataset supplied by Prof. Hasbrouck, we generate a dataset with the pickle format of pandas, that can be downloaded from http://canisius.edu/~yany/python/TORQcq.pkl. Assume that the following data is located under C:\temp
:
import pandas as pd cq=pd.read_pickle("c:/temp/TORQcq.pkl") print(cq.head() )
The output is shown here:
date time bid ofr bidsiz ofrsiz mode qseq symbol AC 19901101 9:30:44 12.875 13.125 32 5 10 50 AC 19901101 9:30:47 12.750 13.250 1 1 12 0 AC 19901101 9:30:51 12.750 13.250 1 1 12 0 AC 19901101 9:30:52 12.750 13.250 1 1 12 0 AC 19901101 10:40:13 12.750 13.125 2 2 12 0 >>>cq.tail() date time bid ofr bidsiz ofrsiz mode qseq symbol...