We have updated LOBSTER’s reconstruction algorithm. Besides speed improvements in the reconstruction process the output has been augmented. It now includes trading halt information under the new event type ‘7’.
The beginning and end of a trading halt are indicated by messages of type ‘7’ with prices set to ‘-1’ and ‘1’, respectively. A potential resume of quoting is indicated by a type ‘7’ message with the price set to ‘0’. For these event messages the order book contains a duplication of the preceding order book state to keep the symmetry of the files. More information can be found in the updated output structure section.
The incorporation of trading halt information has great advantages for researchers: Non trading periods are precisely identified thus improving data cleaning procedures and making the arbitrary rules of thumb, previously used for identification, obsolete. Further, trading halts are indicators for order book behaviors that are potentially of great interest to researchers.
Additionally, we have defined the intraday time period covered by LOBSTER’s standard limit order book output. For the time being, the output will be restricted to NASDAQ’s official trading hours from 09:30:00 to 16:00:00. The decision is based on feedback from potential users highlighting a particular focus on the order book dynamics during regular trading hours and the implied reductions in download times as well as the reduced hard disk requirements.
Be assured this definition, of course, does not prohibit a future extension to allow, for example, an optional inclusion of the pre-trading session in the output.