Looking into informal currency markets as Limit Order Books

This dataset contains structured, time-stamped records of buy and sell quotations from Cuba’s informal foreign exchange market, reconstructed as a limit order book (LOB). The data were collected through systematic web scraping of publicly available online sources between Jul 2021 and Dic 2024, and subsequently processed to extract bid-ask prices, order volumes, and timestamps. Missing observations were identified and documented using a rigorous imputation protocol. The dataset supports empirical analysis of market microstructure in an informal economy. It includes daily snapshots of the order book for major currency pairs (primarily USD/CUP), enabling studies on price formation, liquidity dynamics, and transaction costs in contexts where formal foreign exchange markets are constrained. This dataset complements the code repository “Looking into Informal Currency Markets as Limit Order Books” (available on GitHub), which provides the full pipeline for data collection, LOB reconstruction, and analytics.