lobsterdata 0.1.0

Python client for the LOBSTER financial data API

lobsterdata

Python client for the LOBSTER financial data API.

LOBSTER provides high-quality, tick-level order book data for NASDAQ-listed stocks, widely used in academic finance research.

Installation

pip install lobsterdata

Quick start

from lobsterdata import LobsterClient

client = LobsterClient(
    api_key="your_api_key",
    api_secret="your_api_secret",
    is_pilot=False,   # True → dev.lobsterdata.com, False → lobsterdata.com
)

# Submit a data request
result = client.submit_request(
    symbol="AAPL",
    start_date="2025-02-03",
    end_date="2025-02-07",
    level=10,
    exchange="NASDAQ",
)
request_id = result["data"]["request_id"]

# Download when ready
filepath = client.download_request(request_id, download_dir="./downloads")

# Or download + delete everything that is ready in one call
saved = client.download_and_cleanup(download_dir="./downloads")

See the examples/ directory for a complete polling workflow.

API reference

Method	Description
submit_request(symbol, start_date, end_date, level, exchange)	Submit a new data construction request
list_requests()	List all requests for the authenticated user
get_request(request_id)	Look up a single request by ID
list_alive_requests()	Requests with status waiting, running, or undeleted finished
list_downloadable_requests()	Finished requests with data available for download
download_request(request_id, download_dir)	Download a completed request's data file
delete_request(request_id)	Delete a request and its file from the server
download_and_cleanup(download_dir)	Download all available files then delete them from the server

Credentials

Set your credentials as environment variables (copy .env.example → .env):

export LOBSTER_API_KEY="your_api_key"
export LOBSTER_API_SECRET="your_api_secret"
export LOBSTER_IS_PILOT="false"

License

MIT