LOBSTER | academic data. has has now been online for almost 4 months. The reception has been great and we would like to thank all customers for their trust in our young project.
We are currently working on an extension of the available data period of over 3 years into the past. Soon the available period will cover all trading days from the 27-th of July 2007 to the day before yesterday. Those are more than 6 years of data in total and include the build up to the financial crisis. With LOBSTER’s data you will be able to do truly long term studies on the evolution of market microstructure or the effect of the financial crisis on ‘your favorite limit order book topic’.
Further, the team is preparing for a change in the underlying data. In the upcoming weeks NASDAQ will switch to an updated version of their ITCH protocol which forms the basis for LOBSTER’s limit order book data. The system will be updated with the user experience in mind. The limit order book output will not change and our users will not be affected by the update.
Interested in the data? Check out the information section of the website covering all details from LOBSTER’s output structure to how to get access.
Let us know if you are interested in the data. For your convenience, we are now also offering a call back service. Select ‘request call back’ in the contact form and let us know at which time you are available.