Sometimes you see the event type 6 in message files. It indicates a cross trade, e.g. auction trade. A cross trade is not a trade, but an aggregated representation of many limit and hidden order executions. From order book construction view, it is redundant, because the messages of the underlying limit order executions have already updated the order book. Nonetheless, LOBSTER  creates a message with a pseudo order holding the trade price and volume information, with a negative order id. Here are the meaning of order ID 

  • Order ID = -1: Opening cross

  • Order ID = -2: Closing cross

  • Order ID = -3, -4: IPO, Pause/Halt, Cross network and other intra-day crosses

Because LOBSTER typically starts to write out the data at 9:30 and end at 16:00, you usually do not see the auction trades. However NASDAQ schedules the opening and closing auction with a small random offset. Therefore, you may see event type 6 in your message file when the opening is slightly after 9:30, or closing is slightly before 16:00.

Note that since May 2017, LOBSTER users can request order book and message data before opening and after closing with an additional fee. In those data, of course, the researchers will mostly see event type 6 twice in one message file.  

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