LOBSTER - The New Order Book Reconstructor

Electronic limit order book markets have long become the dominant market structure for equity markets. Acquiring and preparing comprehensive sets limit order book data for academic research in quantitative finance and financial econometrics is usually complex and cumbersome, though.

LOBSTER -- Limit Order Book System: The Efficient Reconstructor -- the new online data-base of the chair of econometrics at Humboldt University, is an easily accessible, user-friendly, versatile and fast platform for retrieving limit order book data. LOBSTER provides access to NASDAQ limit order book data with just a few mouse clicks: select the stock, the period and the level of detail required and LOBSTER reconstructs the order book from a database of more than 20 TB of exchange messages.

The LOBSTER data base is updated daily. It has, for example, been used to predict an limit order's short-run and long-run market impact by Hautsch and Huang (2011a) to identify key determinants of hidden order placements by Hautsch and Huang (2011b).

For more information on LOBSTER please visit the LOBSTER website or take a look at the LOBSTER fact-sheet. A detailed technical description of the LOBSTER platform can be found here.

Selected Publications