Data Documentation

All about the LOBSTER data format

13 articles in this collection
Written by Jonas Haase and Ruihong Huang

Data availability

For which period is data available?
Written by Jonas Haase
Updated over a week ago

Market(able) Orders in LOBSTER Messages

Written by Ruihong Huang
Updated over a week ago

Observations outside regular trading hours

are there observations outside the regular trading hours?
Written by Jonas Haase
Updated over a week ago

Difference between trades and limit order executions

What is the difference between trades and limit order executions?
Written by Jonas Haase
Updated over a week ago

Stock splits

Are (reverse) stock splits accounted for in the data?
Written by Jonas Haase
Updated over a week ago

Trading Halt

how does LOBSTER handle the intra-day trading halt?
Written by Jonas Haase
Updated over a week ago

Reconstruction Details

Answering potential questions you might have regarding the reconstruction mechanism.
Written by Jonas Haase
Updated over a week ago

Information on hidden order executions

what information on hidden order executions is provided?
Written by Jonas Haase
Updated over a week ago

Tick Size

Written by Jonas Haase
Updated over a week ago

Data irregularities

Are there irregularities in the data?
Written by Jonas Haase
Updated over a week ago

NASDAQ's Historical TotalView-ITCH

What is NASDAQ's Historical TotalView-ITCH?
Written by Jonas Haase
Updated over a week ago

Hidden Order Executions

Hidden order execution flag in LOBSTER and hidden liquidity
Written by Ruihong Huang
Updated over a week ago

Event Type 6

The meaning of Event Type 6 in message files
Written by Ruihong Huang
Updated over a week ago