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| LOBSTER | academic data. | |
| Limit Order Book System - The Efficient Reconstructor | |
| http://LOBSTER.wiwi.hu-berlin.de | |
| This Version: 01 Sept 2013 | |
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| Sample Files Readme | |
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| Output Structure: | |
| --------------- | |
| LOBSTER generates a 'message' and an 'orderbook' file for each active | |
| trading day of a selected ticker. The 'orderbook' file contains the | |
| evolution of the limit order book up to the requested number of levels. | |
| The 'message' file contains indicators for the type of event causing | |
| an update of the limit order book in the requested price range. All | |
| events are timestamped to seconds after midnight, with decimal | |
| precision of at least milliseconds and up to nanoseconds depending | |
| on the requested period. | |
| Message File: (Matrix of size: (Nx6)) | |
| ------------- | |
| Name: TICKER_Year-Month-Day_StartTime_EndTime_message_LEVEL.csv | |
| StartTime and EndTime give the theoretical beginning | |
| and end time of the output file in milliseconds after | |
| mid night. LEVEL refers to the number of levels of the | |
| requested limit order book. | |
| Columns: | |
| 1.) Time: | |
| Seconds after midnight with decimal | |
| precision of at least milliseconds | |
| and up to nanoseconds depending on | |
| the requested period | |
| 2.) Type: | |
| 1: Submission of a new limit order | |
| 2: Cancellation (Partial deletion | |
| of a limit order) | |
| 3: Deletion (Total deletion of a limit order) | |
| 4: Execution of a visible limit order | |
| 5: Execution of a hidden limit order | |
| 7: Trading halt indicator | |
| (Detailed information below) | |
| 3.) Order ID: | |
| Unique order reference number | |
| (Assigned in order flow) | |
| 4.) Size: | |
| Number of shares | |
| 5.) Price: | |
| Dollar price times 10000 | |
| (i.e., A stock price of $91.14 is given | |
| by 911400) | |
| 6.) Direction: | |
| -1: Sell limit order | |
| 1: Buy limit order | |
| Note: | |
| Execution of a sell (buy) limit | |
| order corresponds to a buyer (seller) | |
| initiated trade, i.e. Buy (Sell) trade. | |
| Orderbook File: (Matrix of size: (Nx(4xNumberOfLevels))) | |
| --------------- | |
| Name: TICKER_Year-Month-Day_StartTime_EndTime_orderbook_LEVEL.csv | |
| Columns: | |
| 1.) Ask Price 1: Level 1 Ask Price (Best Ask) | |
| 2.) Ask Size 1: Level 1 Ask Volume (Best Ask Volume) | |
| 3.) Bid Price 1: Level 1 Bid Price (Best Bid) | |
| 4.) Bid Size 1: Level 1 Bid Volume (Best Bid Volume) | |
| 5.) Ask Price 2: Level 2 Ask Price (2nd Best Ask) | |
| ... | |
| Notes: | |
| ------ | |
| - Levels: | |
| The term level refers to occupied price levels. This implies | |
| that the difference between two levels in the LOBSTER output | |
| is not necessarily the minimum ticks size. | |
| - Unoccupied Price Levels: | |
| When the selected number of levels exceeds the number of levels | |
| available the empty order book positions are filled with dummy | |
| information to guarantee a symmetric output. The extra bid | |
| and/or ask prices are set to -9999999999 and 9999999999, | |
| respectively. The Corresponding volumes are set to 0. | |
| - Trading Halts: | |
| When trading halts, a message of type '7' is written into the | |
| 'message' file. The corresponding price and trade direction | |
| are set to '-1' and all other properties are set to '0'. | |
| Should the resume of quoting be indicated by an additional | |
| message in NASDAQ's Historical TotalView-ITCH files, another | |
| message of type '7' with price '0' is added to the 'message' | |
| file. Again, the trade direction is set to '-1' and all other | |
| fields are set to '0'. | |
| When trading resumes a message of type '7' and | |
| price '1' (Trade direction '-1' and all other | |
| entries '0') is written to the 'message' file. For messages | |
| of type '7', the corresponding order book rows contain a | |
| duplication of the preceding order book state. The reason | |
| for the trading halt is not included in the output. | |
| Example: Stylized trading halt messages in 'message' file. | |
| Halt: 36023 | 7 | 0 | 0 | -1 | -1 | |
| ... | |
| Quoting: 36323 | 7 | 0 | 0 | 0 | -1 | |
| ... | |
| Resume Trading: 36723 | 7 | 0 | 0 | 1 | -1 | |
| ... | |
| The vertical bars indicate the different columns in the | |
| message file. | |
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| Any questions? Just contact us at http://LOBSTER.wiwi.hu-berlin.de | |
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