LOBSTER: Limit Order Book Reconstruction System

22 Pages Posted: 27 Dec 2011

See all articles by Ruihong Huang

Ruihong Huang

Humboldt University of Berlin

Tomas Polak

affiliation not provided to SSRN

Date Written: December 27, 2011

Abstract

The rise of order-driven markets in recent years created considerable challenges for researchers, who have to cope with extremely large amounts of data produced daily by the markets. It is our goal to spare academic researchers the tedious task of technical pre-processing of the data and thus enable them to focus on economic research. Our order book reconstruction system LOBSTER is based on the generalized order-processing algorithm common for majority of order-driven markets and so it is easily adjustable to process data produced in any order-driven market. Efficient data structures result in very convincing performance, with large datasets produced on the fly. Currently LOBSTER uses ITCH data from NASDAQ to accurately replicate the limit order book for any NASDAQ-traded stock to any desired level. Data from more venues will be added in the future. The system is accessible via the Internet, which makes it very convenient for researchers from around the world.

Keywords: limit order market, message data, high-frequency data

JEL Classification: C88

Suggested Citation

Huang, Ruihong and Polak, Tomas, LOBSTER: Limit Order Book Reconstruction System (December 27, 2011). Available at SSRN: https://ssrn.com/abstract=1977207 or http://dx.doi.org/10.2139/ssrn.1977207

Ruihong Huang (Contact Author)

Humboldt University of Berlin ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Tomas Polak

affiliation not provided to SSRN ( email )

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