lobsterdata 0.1.1

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

🦞 Pilot phase — The API is currently in pilot and access is by invitation only. If you are an active Lobsterian and would like to join, please send an email to [e-mail] with your name, institute, and email address. Only active Lobsterians will be granted access.

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
)

1 — Submit a 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"]
print(f"Request submitted – ID: {request_id}")

Submitting in a loop? Sleep at least 3 seconds between each call on the pilot server to stay well within the rate limit of 20 requests per minute. Exceeding it will block your API key for 10 minutes.

import time

for symbol in symbols:
    client.submit_request(symbol, start_date, end_date)
    time.sleep(3)   # avoid rate-limit block

Construction typically takes a few minutes depending on the date range and symbol.

2 — Check if ready

List your requests and inspect their status and data size:

requests = client.list_requests()
for req in requests:
    rid = req.get("request_id") or req.get("id")
    status = req.get("status")
    size_mb = req.get("request_data_size", 0) / (1024 * 1024)
    print(f"ID {rid} | {req.get('symbol')} | status: {status} | size: {size_mb:.2f} MB")

A request is ready to download when status == "finished" and request_data_size > 0.

Construction typically takes a few minutes. Re-run the snippet above until your request meets both conditions.

3 — Download and clean up

filepath = client.download_request(request_id, download_dir="./downloads")
print(f"Saved to: {filepath}")

client.delete_request(request_id)
print("Deleted from server.")

See the examples/ directory for a complete multi-symbol polling workflow.

API limits & constraints

⚠️ Violating any of these constraints will result in a rejected request (error=1) or a temporary API key block.

Request constraints

Parameter	Allowed values	Notes
level	0 or 10	Any other value is rejected
frequency_seconds	0 or null	Any other value is rejected
Date range	≤ 31 days	end_date − start_date must not exceed 31 days

Rate limiting

Limit	Consequence
20 requests per minute	Exceeding this blocks your API key for 10 minutes

Storage limit

The pilot server has a storage limit of 200 GB of raw CSV data (not the compressed zip size). If your total stored data on the server exceeds this quota, your API key will be blocked with the reason "Storage breached". The block is lifted automatically once you delete enough files to drop below the limit — use delete_request() or download_and_cleanup() to free up space.

Checking your block state

state = client.get_block_state()
print(state)
# {"blocked": False, "block_reason": None, "unblock_time": None}

If blocked is True, the response will include block_reason and unblock_time.

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
get_block_state()	Check whether your API key is currently blocked and why

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