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.
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).
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.
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.
We updated our research section with some of the recent papers that used LOBSTER as data source. Are you missing your work? We will gladly add them to the section in case you let us know.
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.
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.