There are two folders: BTC for Bitcoin analysis across multiple exchanges SPY for the S&P 500 ETF on the NASDAQ exchange
The process was reconstruction of the order book from trade data, followed by simulations.
The BTC order book was reconstructed from millisecond-resolution tick data from Kaiko.
The SPY order book data was reconstructed from nanosecond-resolution ITCH data from NASDAQ. It is copied into this repo for convenience. The original ITCH file is several gigabytes in size.