lobmp 0.1.1

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.

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 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

cargo install cargo-llvm-cov