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lobmp

Limit Order Book Message Processor is a Python package designed to transform raw lseg(aka Refinitiv) high frequency trading data into convenient formats such as parquet.

Install

The package is available through PyPi

pip install --upgrade lobmp

Features

The package is intended to be used as a Command Line Interface (CLI) program. The main features are

• CLI for processing message files
• Supports LSEG (also known as Refinitiv) provider (with potential for future expansion)
• Outputs data in part-* Parquet format
• Adjustable verbosity for logging

Please keep in mind this a package under development, so bugs are expected and functionality is not guaranteed to be 100% correct.

Usage

lobmp <filepath> <targetdir> [--verbose LEVEL]

Required Arguments

• filepath: Path to the CSV file to be processed.
• targetdir: Directory where the processed file will be saved. Optional Arguments
• --verbose: Logging level. Choose from: DEBUG, INFO, WARNING, ERROR, CRITICAL or NOTSET (default)

For example

lobmp raw_messages.csv ./output --verbose DEBUG

Will process the raw_messages.csv file and output the processed messages in the output folder.

Contributing

Please fork the project and clone it into your computer. Then install the required dependencies:

python -m venv .venv

. .venv/bin/activate

uv lock

just develop

pre-commit install

rustup component add llvm-tools-preview