Provided below are small scripts to help you get started with LOBSTER's data.
Should you have a script or function you would like to share with other users just let us know.
- demo code
The LOBSTER code demo gives a brief introduction to the data to help you get started:
The sample data is loaded and the structure of both the message and orderbook files are discussed.
Further, the following plots are generated:
Number of executions and trade volume by intraday interval, snapshot of the limit order book, relative depth in the limit order book and
intraday depth evolution.
Demo script including a sample file and readme: [Matlab] [R]
Note: The R demo was written and tested with R version 2.15.1 (Roasted Marshmallows). There might be issues with R version 3.0 or higher.
- LOBSTER tool box (beta)
The LOBSTER tool box includes the following functions for LOBSTER's limit order book data:
- Loading data: CSV and binary format
- Visualization: Order book state and summary of the intraday price and volume activity.
- C (MEX) based functions for: Creating a regular intraday interval grid, a time based aggregation of limit order executions to trades and the generating of order flow information.
Please note the included C (MEX) functions are compiled for both Linux and Windows 64-bit systems. A 32-bit version is not included.
Toolbox including the C source code, a sample file and a readme: [Matlab version soon to come...]
Additional sample files are available here.