diff --git a/pts/dataset/common.py b/pts/dataset/common.py
index 4b17700..c4440f3 100644
--- a/pts/dataset/common.py
+++ b/pts/dataset/common.py
@@ -61,4 +61,16 @@ class MetaData(BaseModel):
     feat_dynamic_real: List[BasicFeatureInfo] = []
     feat_dynamic_cat: List[CategoricalFeatureInfo] = []
 
-    prediction_length: Optional[int] = None
\ No newline at end of file
+    prediction_length: Optional[int] = None
+
+
+class TrainDatasets(NamedTuple):
+    """
+    A dataset containing two subsets, one to be used for training purposes,
+    and the other for testing purposes, as well as metadata.
+    """
+
+    metadata: MetaData
+    train: Dataset
+    test: Optional[Dataset] = None
+
diff --git a/pts/dataset/file_dataset.py b/pts/dataset/file_dataset.py
new file mode 100644
index 0000000..c6c96bf
--- /dev/null
+++ b/pts/dataset/file_dataset.py
@@ -0,0 +1,102 @@
+import functools
+from pathlib import Path
+from typing import NamedTuple
+from typing import Iterator, List
+import glob
+
+import rapidjson as json
+
+from .common import Dataset, DataEntry, SourceContext
+from .process import ProcessDataEntry
+
+
+def load(file_obj):
+    for line in file_obj:
+        yield json.loads(line)
+
+
+class Span(NamedTuple):
+    path: Path
+    line: int
+
+
+class Line(NamedTuple):
+    content: object
+    span: Span
+
+
+class JsonLinesFile:
+    """
+    An iterable type that draws from a JSON Lines file.
+
+    Parameters
+    ----------
+    path
+        Path of the file to load data from. This should be a valid
+        JSON Lines file.
+    """
+
+    def __init__(self, path) -> None:
+        self.path = path
+
+    def __iter__(self):
+        with open(self.path) as jsonl_file:
+            for line_number, raw in enumerate(jsonl_file, start=1):
+                span = Span(path=self.path, line=line_number)
+                try:
+                    yield Line(json.loads(raw), span=span)
+                except ValueError:
+                    raise Exception(f"Could not read json line {line_number}, {raw}")
+
+    def __len__(self):
+        # 1MB
+        BUF_SIZE = 1024 ** 2
+
+        with open(self.path) as file_obj:
+            read_chunk = functools.partial(file_obj.read, BUF_SIZE)
+            return sum(chunk.count("\n") for chunk in iter(read_chunk, ""))
+
+
+class FileDataset(Dataset):
+    """
+    Dataset that loads JSON Lines files contained in a path.
+
+    Parameters
+    ----------
+    path
+        Return list of path names that match path. Each file is considered
+        and should be valid. A valid line in a file can be for
+        instance: {"start": "2014-09-07", "target": [0.1, 0.2]}.
+    freq
+        Frequency of the observation in the time series.
+        Must be a valid Pandas frequency.
+    one_dim_target
+        Whether to accept only univariate target time series.
+    """
+
+    def __init__(self, path: Path, freq: str, one_dim_target: bool = True,) -> None:
+        self.path = path
+        self.process = ProcessDataEntry(freq, one_dim_target=one_dim_target)
+        if not self.files():
+            raise OSError(f"no valid file found via {path}")
+
+    def __iter__(self) -> Iterator[DataEntry]:
+        for path in self.files():
+            for line in JsonLinesFile(path):
+                data = self.process(line.content)
+                data["source"] = SourceContext(source=line.span, row=line.span.line)
+                yield data
+
+    def __len__(self):
+        return sum([len(JsonLinesFile(path)) for path in self.files()])
+
+    def files(self) -> List[Path]:
+        """
+        List the files that compose the dataset.
+
+        Returns
+        -------
+        List[Path]
+            List of the paths of all files composing the dataset.
+        """
+        return glob.glob(self.path)
diff --git a/setup.py b/setup.py
index cb2a6aa..c1b961d 100644
--- a/setup.py
+++ b/setup.py
@@ -24,6 +24,7 @@ setup(
         'ujson',
         'pydantic',
         'matplotlib',
+        'python-rapidjson',
     ],
 
     test_suite='tests',