Between 07:00 and 9:30 traders on NASDAQ are allowed to submit limit orders which are collected and form the basis of the order book at opening. Further, on some days the exchange message data contains executions that are time stamped after 16:00. (All times in EST.)
Given LOBSTER's current focus on providing an efficient environment for a smooth analysis of the limit order book dynamics during regular trading hours, the limit order book output does not include observations before 09:30 and after 16:00.
In the future LOBSTER may offer the option to include information on events occurring before and/or after regular trading hours in the limit order book output.