Posted on

Latency and Liquidity Provision in a Limit Order Book

 

Julius Bonart and Martin Gould  of Imperial College London published an Article in Quantitative Finance (April 2017) using LOBSTER data titled Latency and Liquidity Provision in a Limit Order Book. Abstract:

 We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders differs considerably. We note some of our results are consist with the widely reported phenomenon of stimulated refill, but that others are not. We therefore propose alternative mechanical and strategic motivations for the behaviour that we observe. Based on our findings, we argue that strategic liquidity providers consider both adverse selection and expected waiting costs when deciding how to act.

http://dx.doi.org/10.1080/14697688.2017.1296177

Read the working paper version here.

Posted on

Conference: VieCo 2017, Vienna.

VieCo 2017 aims to bring together leading experts and practitioners in financial econometrics, financial statistics, quantitative financial economics as well as applied mathematical finance. It is jointly organized by the Department of Statistics and Operations Research of the University of Vienna, in cooperation with the Wolfgang Pauli Institute Vienna and the Department of Economics of the University of Copenhagen. The “Vienna–Copenhagen Conference on Financial Econometrics” will take place on March 9-11 2017 in Vienna.

LOBSTER will be present at the conference, if you like to get in touch please come to our desk during the poster session on friday or send an email to get in touch.

Posted on

Conference: HFT2016, Vienna.

HFT2016 aims at bringing together some of the world’s leading experts on high-frequency trading. The focus will be on a critical analysis as well as the perspectives of this recent development in global financial markets.

LOBSTER is presented at the conference with our academic adviser and co-founder Prof. Nikolaus Hautsch (who also happens to organize the event).

Posted on

LOBSTER is becoming an independent company!

After two years of testing LOBSTER supported by Humboldt-Innovation GmbH, the incubator of Humboldt-Universität zu Berlin, we, the developers and creators of LOBSTER, founded our own company to develop & distribute LOBSTER further.

Our company’s name frischedaten UG (haftungsbeschränkt) roughly translates to fresh and recent data, and verbalizes what we strive for.

If you are already a customer, you received an email legally informing you of the transition of your current contract from Humboldt-Innovation to frischedaten UG. Your terms remain unchanged, but you will need to shortly confirm to that transition so that you can access LOBSTER after the 14th of November.

Our new customers will be able to conclude a contract directly with frischedaten UG from now on. We will update the relevant pages for the onboarding process shortly, in the meantime just contact us for all questions regarding enrolment.

Posted on

Updated queueing system.

As our customer base increases, so are the usage patterns of our users. We saw an increase in very big data queries the last weeks, which our queuing system handled efficiently but not very fair-minded with respect to users that wanted to see their small queries fulfilled in a reasonable time frame. To accommodate all of our users, we had to tweak the queuing system of LOBSTER.

From now on we have a fixed amount of threads (currently three) that run in parallel associated with each user. Of course you can still enter all your queries at once, and three of them will always start immediately while all others get queued until the first one finishes.

Posted on

UPDATE new source data format.

Nasdaq has introduced a new ITCH format last Monday. We are testing our updated platform currently and plan to roll out the new LOBSTER version next Monday (Oct 13th). The service will not be available for about two hours on that day. Until then you will still be able to access data up to Sep 26th.

With the new version we also update the whole LOBSTER platform and with it the possibility to add even more historical data. As a first step, data from Jan 6th 2009 on up until yesterday will be available starting next Monday. More historical data will follow swift.