Install runs fine...

[kvak]

Can you add a example of how to run your code?

Also, when I do:

cd /PyLimitOrderBook
python bin/limitbook-tseries.py sample_data/XOM_BATS_2010-06-16.csv  sample_data/XOM_BATS_2010-06-162.csv

I get:

Traceback (most recent call last):
  File "bin/limitbook-tseries.py", line 68, in <module>
    quotebook.trade(line.rstrip())
  File "build/bdist.linux-x86_64/egg/pylimitbook/researchBook.py", line 33, in trade
  File "build/bdist.linux-x86_64/egg/pylimitbook/book.py", line 97, in trade
  File "build/bdist.linux-x86_64/egg/pylimitbook/book.py", line 19, in parse_csv
IndexError: list index out of range

Is this what you get also?