Data & Code

Here you'll find data and codes corresponding to certain sections of the book
DATA
CSCO, FB, INTC, LBTYK, LVNTA, MSFT, VDO from 2014-11-03 to 2014-11-07
    Zip containing .mat files (link190 MB) 
    The description of the content of the .mat files is documented here
AAPL for 20130730
    The .mat file (link 4.66Mb, link to zipped .txt version 3,22Mb). Documentation

CODE
[m] stands for matlab code
  • [m] Very basic introductory script describing the variables in the data (link)
  • [m] Function to construct regularly spaced time series (link) [fConstructSimpleTimeSeries.m]
  • [m] Plotting and making movies of the limit order book (LOB) as in Chapter 1 (link to code and documentation, zip 252Kb) (example of a movie link, mp4 807Kb). 
  • [m] Plotting volume over 1-minute intervals for a single asset-day (link Figure 4.1, uses fConstructSimpleTimeSeries function)
  • [m] Generating optimal strategies for liquidation / acquisition with and without a price limiter as in Chapters 6 and 7. (link to code and documentation, zip 598Kb)