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We have updated LOBSTER's reconstruction algorithm. Besides speed improvements in the reconstruction process the output has been augmented. It now includes trading halt information under the new event type '7'.
The beginning and end of a trading halt are indicated by messages of type '7' with prices set to '-1' and '1', respectively. A potential resume of quoting is indicated by a type '7' message with the price set to '0'. For these event messages the order book contains a duplication of the preceding order book state to keep the symmetry of the files. More information can be found in the updated data structure section. more...