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data.


sample files.

The sample files contain an 'orderbook' file, a 'message' file and a readme summarizing the data's properties. All sample files are based on the official NASDAQ Historical TotalView-ITCH sample.

demo code.

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.

download samples.

Name
Ticker
Level
Size (MB)
Download
Amazon
AMZN
1
0.7
download


5
2
download


10
4
download
Apple
AAPL
1
1.3
download


5
4.2
download


10
6.5
download
Google
GOOG
1
0.5
download


5
1.6
download


10
2.5
download
Intel
INTC
1
3.3
download


5
5.8
download


10
6.7
download
Microsoft
MSFT
1
3.3
download


5
5.9
download


10
7.2
download
more levels.

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.

more information.

A detailed description of LOBSTER's output structure can be found here. Details on the access options are available here. The process of joining LOBSTER is outlined here.