code help.

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.

  1. 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.

  2. 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...]

more data.

Additional sample files are available here.