lobsteR
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LobsteR
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.
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