LOBSTER includes hidden order executions in the message file with a duplication of the previous limit order book state recorded in order book file. The execution message includes the exact time stamp, the size, direction and price of the executed order. Further, the message includes an order ID field. According to NASDAQ's data specification, before December 6-th 2010 NASDAQ's Historical TotalView-ITCH contained hidden order execution messages which included a unique order ID. In all files supplied after December 6-th 2010 the field has been set to '0'.

Should NASDAQ's Historical TotalView-ITCH files contain a unique order ID in the hidden order execution message, the order ID is included in LOBSTER's output, otherwise the field is set to '0'.

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