LOBSTER data is based on NASDAQ Totalview data feed, which is sent to traders during the trading. For obvious reasons, it cannot include any hidden-type order (reserve or non-display orders) details, such as its submission, modification and cancellation.
A special case in which traders can somehow "infer" the hidden-type order is when it was hit by another order from the opposite side. In this case, a trade (execution) takes place. Because trades are supposed to be transparent, Totalview sends out a message of non-cross trade, indicating a trade of taking hidden liquidity. LOBSTER uses this flag to identify a hidden-type order execution. In LOBSTER output message file, it corresponds to the event type "5". Here are some notes for this special event.
- Because the hidden-order execution does NOT change the limit order book state, the corresponding record of the order book in LOBSTER output is a duplication of the previous order book.
- Before October 5, 2010, the message included a meaningful hidden-type order ID and a meaningful buy/sell indicator.
- During the period between October 6, 2010 and July 13, 2014, the order ID in the message is always zero, while the buy/sell indicator is still meaningful.
- After July 14, 2014, the order ID in a hidden-type order execution message is always zero and the buy/sell indicator is always one, i.e. BUY.