Big Ticks and Small Ticks in Equity Microstructure

I bought Trades, Quotes and Prices a few years ago and it came with access to some free data to help you understand the concepts. That data was from LOBSTER and it has the limit order book (LOB) of five tech stocks for a single day in 2012. I did a quick top of book size calculation in Python and the liquidity profiles looked completely different. Intel and Microsoft had hundreds of thousands of dollars at the best prices, while Google and Amazon had only a fraction of that size. So my first thought was that the orderbook data needs some explaining and basic analysis before going into anything more complicated. In this post, we’ll cover how to load and parse LOBSTER data in Python, calculate core microstructure statistics, and explore how a stock’s tick size changes how it trades (big-tick vs. small-tick stocks). Enjoy these types of posts? Then sign up for my newsletter. You aren’t getting high-frequency market data for free. Exchanges sell this data and it must be worth something as…