Each .mat file contains a single structure named "data" and contains all events on the Nasdaq exchange.
The structure data has five elements:
Each element's content is as follows:
An (n x 7) element matrix describing all the messages sent into the market. n is the number of events that occurred on the corresponding date for the corresponding ticker. Each of the 7 columns corresponds to the following information (by column)
An (n x k) element matrix describing the number of shares (depth) posted in the limit order book. n is the number of events that occurred on the corresponding date for the corresponding ticker. k is the number of levels in the LOB recorded. Sell volume refers to depth on the ask side of the book and Buy on the bid side.
An (n x k) element matrix describing the prices at which depth is posted in the limit order book. n is the number of events that occurred on the corresponding date for the corresponding ticker. k is the number of levels in the LOB recorded. Sell volume refers to depth on the ask side of the book and Buy on the bid side.
Messages types are encoded by their numeric equivalents. char(data.Event(:,3)) will convert them into the corresponding characters
66: "B"  Add buy limit order (on the bid)
83: "S"  Add sell limit order (on the ask)
69: "E"  Execute outstanding order in part
70: "F"  Execute outstanding order in full
67: "C"  Cancel outstanding order in part
68: "D"  Delete outstanding order in full
88: "X"  Bulk volume for the cross event
84: "T"  Execute nondisplayed order

Data & Code >