The LOBSTER code demo gives a brief introduction to the data to help you get started: The sample data is loaded and the structure of both the message and orderbook files are discussed.
Further, the following plots are generated: Number of executions and trade volume by intraday interval, snapshot of the limit order book, relative depth in the limit order book and intraday depth evolution.

The code is available on github:
Feel free to modify it & create pull requests.

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