LOBSTER generates a ‘message’ and an ‘orderbook’ file for each active trading day of a selected ticker. The ‘orderbook’ file contains the evolution of the limit order book up to the requested number of levels. The ’message’ file contains indicators for the type of event causing an update of the limit order book in the requested price range. All events are timestamped to seconds after midnight, with decimal precision of at least milliseconds and up to nanoseconds depending on the requested period.
