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lobsteR  

Access and Process 'LOBSTER' High-Frequency Data
View on CRAN: Click here


Download and install lobsteR package within the R console
Install from CRAN:
install.packages("lobsteR")

Install from Github:
library("remotes")
install_github("cran/lobsteR")

Install by package version:
library("remotes")
install_version("lobsteR", "1.0.0")



Attach the package and use:
library("lobsteR")
Maintained by
Stefan Voigt
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-03
Latest Update: 2026-03-03
Description:
Provides tools to authenticate with 'LOBSTER' (Limit Order Book System - The Efficient Reconstruction, <https://app.lobsterdata.com/>), request, download, and process high-frequency limit order book data. Streamlines the end-to-end workflow from data request to analysis-ready datasets. For advanced high-frequency econometric analysis, see the 'highfrequency' package.
How to cite:
Stefan Voigt (2026). lobsteR: Access and Process 'LOBSTER' High-Frequency Data. R package version 1.0.0, https://cran.r-project.org/web/packages/lobsteR. Accessed 02 Sep. 2026.
Previous versions and publish date:
No previous versions
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Complete documentation for lobsteR
Functions, R codes and Examples using the lobsteR R package
Full lobsteR package functions and examples
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