We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
Published online by Cambridge University Press: 26 February 2018
Description of the NASDAQ Data
Throughout the book, our empirical calculations are based on historical data that describes the LOB dynamics during the whole year 2015 for 120 liquid stocks traded on NASDAQ. On the NASDAQ platform, each stock is traded in a separate LOB with a tick size of ϑ = $0.01. The platform enables traders to submit both visible and hidden limit orders. Visible limit orders obey standard price–time priority, while hidden limit orders have lower priority than all visible limit orders at the same price. The platform also allows traders to submit mid-price-pegged limit orders. These orders are hidden, but when executed, they appear with a price equal to the national mid-price (i.e. the mid-price calculated from the national best bid and offer) at their time of execution. Therefore, although the tick size is $0.01, some orders are executed at a price ending with $0.005.
The data that we study originates from the LOBSTER database (see below), which lists every market order arrival, limit order arrival, and cancellation that occurs on the NASDAQ platform during 09:30–16:00 each trading day. Trading does not occur on weekends or public holidays, so we exclude these days from our analysis.When we calculate daily traded volumes or intra-day patterns, we include all activity during the full trading day. In all other cases, we exclude market activity during the first and last hour of each trading day, to remove any abnormal trading behaviour that can occur shortly after the opening auction or shortly before the closing auction.
For each stock and each trading day, the LOBSTER data consists of two different files:
• The message file lists every market order arrival, limit order arrival and cancellation that occurs. The LOBSTER data does not describe hidden limit order arrivals, but it does provide some details whenever a market order matches to a hidden limit order (see discussion below).
• The orderbook file lists the state of the LOB (i.e. the total volume of buy or sell orders at each price). The file contains a new entry for each line in the message file, to describe the market state immediately after the corresponding event occurs.
To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.
Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.
Find out more about the Kindle Personal Document Service.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.
