We updated the LOBSTER database to include data up to the 27th of June 2007.
With the new LOBSTER framework in place all of NASDAQs limit order book data from 6th January 2009 up until yesterday is now available. More historical data will follow swiftly.
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.
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.
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.
We are happy to announce that LOBSTER | academic data. is now online and ready to welcome you as a customer.
Please familiarize yourself with LOBSTER’s output via our sample files and the detailed description of the output structure. Two access options – one for research institutions and one for individual researchers – are available. Joining LOBSTER is very simple and the process is explained here.
The test run under which LOBSTER will operate until November 2014 is realized with the help of our partner Humboldt-Innovation GmbH. Humboldt-Innovation GmbH is a 100% subsidiary of Humboldt Universität zu Berlin. It is the knowledge and technology transfer unit of Humboldt Universität and handles research and development contracts with industry partners on its own behalf and for its own account. Detailed information can be found at humboldt-innovation.de
For LOBSTER Humboldt-Innovation GmbH provides administrative support and acts as contractual partner to LOBSTER’s customers.
We would like to take the opportunity to thank Humboldt-Innovation GmbH for their support and great cooperation.
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.
It has been a while since the end of our beta-phase, but now we are happy to announce that LOBSTER will go live in 2013. We have secured our license and can now start to provide reconstructed limit order book data to academic researchers worldwide.
Let’s take a quick peek at what LOBSTER will offer and the payment options that will be available.
LOBSTER will offer:
- access to reconstructed limit order book data derived from NASDAQ’s historical TotalView-ITCH files.
- customizable level of detail: Order books with up to 200 levels.
- latest data: Large database of historical messages up to the market activity of the day before yesterday.
- easy and intuitive request interface.
Two payment options will be available. A flat rate access for research institutions and a pay-per-use option for smaller groups or individual researchers.
The flat rate access features individual accounts for researchers with storage space on LOBSTER’s servers and a personal data management system. The pay-per-use access is based on a credit system that allows access to the desired data at very reasonable prices.
Both, the flat rate and pay-per-use option, give access to the entire database. There are no restrictions on tickers, periods, or, the number of requests.
The LOBSTER team wishes everybody happy holidays and a happy new year.
See you next year.
Santa was a little early this year. He just dropped of the new server for LOBSTER. We will now install the updated system and transfer our database of raw messages to the new storage facility. The coming year will then begin with an extensive testing of the system.
Let me make the following comment on the power of the new machine:
When 256 GB of ram go to town on more than 15 TB of raw message, you can only expect great things… At least when you are interested in limit order book data.
LOBSTER will relaunch as a provider of high frequency limit order book data of NASDAQ traded stocks for the academic community. In the coming months we will redesign the system to offer a richer and more user friendly experience.
If you are interested in joining LOBSTER, please let us know. We will keep you informed about how to join and we’d be happy to welcome you as one of our customers.
LOBSTER’s users will be required to obtain an academic waiver from NASDAQ (no charge). We encourage you to check if your university has already obtained one. Should you require a waiver, we will gladly assist in obtaining one. More details in the months to come …