The limit order books reconstructed by LOBSTER contain records of individual limit order executions. It is important to make the distinction between these limit order executions and what would be considered 'trades' from an economic perspective. A limit order execution is uniquely identified in the message data and refers to one limit order being (partially) executed. A 'trade', caused, for example, by the submission of a marketable limit order, can refer to several limit order executions.

In the literature, researcher interested in 'economic trades' typically rely on (time based) rules to aggregate limit order executions to 'trades'.

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