This dataset contains stock market data relevant to the practical execution of trades in the financial markets. In particular, it includes order book snapshots and executed trades. With one second resolution, it provides a uniquely fine grained look at the micro-structure of modern financial markets.
This is a code competition where only the first few rows of the test set are available for download. The rows that are visible are intended to illustrate the hidden test set format and folder structure. The remainder will only be available to your notebook when it is submitted. The hidden test set contains data that can be used to construct features to predict roughly 150,000 target values. Loading the entire dataset will take slightly more than 3 GB of memory, by our estimation.
This is also a forecasting competition, where the final private leaderboard will be determined using data gathered after the training period closes, which means that the public and private leaderboards will have zero overlap. During the active training stage of the competition a large fraction of the test data will be filler, intended only to ensure the hidden dataset has approximately the same size as the actual test data. The filler data will be removed entirely during the forecasting phase of the competition and replaced with real market data.