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academic
data.


what is LOBSTER?

LOBSTER is an online limit order book data tool designed with the goal of providing researchers with easy-to-use, high-quality limit order book data.

Since 2013 LOBSTER acts as a data provider for the academic community, giving access to reconstructed limit order book data for the entire universe of NASDAQ traded stocks.

If you are interested in LOBSTER, please contact us and we will inform you on how to join LOBSTER.

LOBSTER offers.

  • NASDAQ's Historical TotalView-ITCH.
    The limit order book data that LOBSTER reconstructs originates from NASDAQ's Historical TotalView-ITCH files - the historic record of what NASDAQ calls

    "[...] the standard NASDAQ data feed for serious traders - [displaying] the full order book depth [...]"*.

  • customized level of detail.
    Select from up to 200 price levels available depending on the level of detail required for your research - whether 'trades and quotes', i.e. level 1, level 10 or level 20.

  • detailed event information.
    Submissions, cancellations and executions (visible and hidden) are uniquely identified. For each limit order event in the requested price range the following details are included: Time stamp (up to nanosecond precision), order ID, price, size and buy/sell indicator.

  • latest data.
    Our database contains data from the 27th of June 2007 up to the day before yesterday.

  • choosing stocks and periods.
    Download only the data that you actually need for your research project!

  • flat rate access to all available data for your whole research group.
    The subscription gives up to 10 users per institution full access to the LOBSTER database.

creators.

LOBSTER is developed and run by frischedaten UG (haftungsbeschr√§nkt). The company was founded by a group of financial econometricians affiliated with Humboldt Universität zu Berlin, Germany and the University of Vienna, Austria.

LOBSTER is proud to be powered by NASDAQ.



more information.

You can familiarize yourself with LOBSTER's output via our sample files and the detailed description of the output structure. Two access options - one for institutions and one for individual researchers - are available. Joining LOBSTER is very simple and the process is explained here.

For background information on the reconstruction mechanism please refer to a short description. A technical report outlines the details of LOBSTER's design.

Should you have any questions, please do not hesitate to contact us.