Data Documentation

All about the LOBSTER data format

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15 articles in this collection
Written by Jonas Haase and Ruihong Huang

Data availability

For which period is data available?
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Written by Jonas Haase
Updated over a week ago

Discrepancy of Price/Volume between LOBSTER and Low Frequency Data

Why does a stock price differ from Yahoo Finance?
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Written by Ruihong Huang
Updated over a week ago

Market(able) Orders in LOBSTER Messages

market order, marketable order
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Written by Ruihong Huang
Updated over a week ago

Sample data

Look at the sample files yourself.
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Written by Jonas Haase
Updated over a week ago

Observations outside regular trading hours

are there observations outside the regular trading hours?
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Written by Jonas Haase
Updated over a week ago

Difference between trades and limit order executions

What is the difference between trades and limit order executions?
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Written by Jonas Haase
Updated over a week ago

Stock splits

Are (reverse) stock splits accounted for in the data?
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Written by Jonas Haase
Updated over a week ago

Trading Halt

how does LOBSTER handle the intra-day trading halt?
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Written by Jonas Haase
Updated over a week ago

Reconstruction Details

Answering potential questions you might have regarding the reconstruction mechanism.
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Written by Jonas Haase
Updated over a week ago

Information on hidden order executions

what information on hidden order executions is provided?
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Written by Jonas Haase
Updated over a week ago

Tick Size

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Written by Jonas Haase
Updated over a week ago

Data irregularities

Are there irregularities in the data?
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Written by Jonas Haase
Updated over a week ago

NASDAQ's Historical TotalView-ITCH

What is NASDAQ's Historical TotalView-ITCH?
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Written by Jonas Haase
Updated over a week ago

Hidden Order Executions

Hidden order execution flag in LOBSTER and hidden liquidity
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Written by Ruihong Huang
Updated over a week ago

Event Type 6

The meaning of Event Type 6 in message files
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Written by Ruihong Huang
Updated over a week ago