sample files.The sample files contain an 'orderbook' file, a 'message' file and a readme summarizing the data's properties. All sample files are based on the official NASDAQ Historical TotalView-ITCH sample. demo code.We have prepared small demo codes for Matlab and R to help you get started with LOBSTER's data. The demo files for Matlab and R contain a small code sample, a sample file and a readme. The download links and further code is available in the code help. download samples.
More experienced researchers might be interested in higher level order books. The files provided below contain the limit order book evolution between 09:30:00 and 10:30:00 on the same day as the files above.
Please note that if there are unoccupied price levels in the requested price range, LOBSTER's output contains dummy variables to guarantee a symmetric output. Dummy variables are easily identified by a volume of 0. more information.A detailed description of LOBSTER's output structure can be found here. Details on the access options are available here. The process of joining LOBSTER is outlined here. |
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