Lobster

https://lobsterdata.com

The so-called LOBSTER platform is an online data-generating tool which has been developed by a research group at Humboldt University Berlin and the University of Vienna. It provides up-to-date, high-quality and easily accessible limit order book data of tickers in the NASDAQ universe.

More information.

Familiarize yourself with LOBSTER's output via our sample files and the detailed description of the output structure. Two access options – one for institutions and one for individual researchers – are available.
Joining LOBSTER is very simple – look it up.

join now. at https://lobsterdata.com

LOBSTER | academic data. offers.

"[...] the standard NASDAQ data feed for serious traders - [displaying] the full order book depth [...]"*.


 

 

  • customized level of detail.
    Select from up to 200 order book price levels available depending on the level of detail required for your research - whether 'trades and quotes', i.e. level 1, level 10 or level 20.

  • detailed event information.
    Submissions, cancellations and executions (visible and hidden) are uniquely identified. For each limit order event in the requested price range the following information is included: Time stamp (up to nanosecond precision), order ID, price, size and buy/sell indicator.

  • latest data.
    Our database contains data from the 27th of April 2010 up to the day before yesterday.
  • choosing stocks and periods.
    Download only the data that you actually need for your research project!

  • flat-rate and pay-per-use access.
    Two access options are available: A flat rate access for research institutions and a pay-per-use option for individual researchers.