We have prepared small demo codes for Matlab and R to help you get started with LOBSTER's data. The demo files for Matlab and R contain a small code sample, a sample file and a readme. The download links and further code is available in the code help.
More experienced researchers might be interested in higher level order books. The files provided below contain the limit order book evolution between 09:30:00 and 10:30:00 on the same day as the files above.
Please note that if there are unoccupied price levels in the requested price range, LOBSTER's output contains dummy variables to guarantee a symmetric output. Dummy variables are easily identified by a volume of 0.