The limit order books reconstructed by LOBSTER are true to the raw data provided in NASDAQ's Historical TotalView-ITCH files. We do not clean the data, add any information or remove erroneous order book states. This implies that all irregularities that occur on NASDAQ's trading system and are recorded in the Historical TotalView-ITCH files are also in the order books provided by LOBSTER. Further, changes made at a later point in time, such as cancellations of trades, are not considered and not retroactively accounted for in the provided order books.

The provided data is the data that was presented to traders in real time. I.e. LOBSTER presents the order book based on which traders have based their decisions.

A well documented example of an irregularity in NASDAQ's TotalView limit order book is the IPO of Facebook (FB) on May 18-th 2012. Technical problems caused NASDAQ's order book (TotalView) to be crossed. I.e. there were bid limit orders with prices higher than the lowest ask price. This is an obvious error in the data as such orders should immediately trigger executions.

It is the users responsibility to check the data for obvious irregularities before processing the data any further.

Did this answer your question?