Create a LOBSTER data request (one row per trading day)

Construct a request describing which trading-day files to ask LOBSTER for. For each symbol and date range the function expands the range to one row per calendar day, converts the level to integer, and (optionally) validates the requested days by removing weekends, NYSE holidays and any days already present in the provided account archive.

Usage

request_query(
  symbol,
  start_date,
  end_date,
  level,
  validate = TRUE,
  account_archive = NULL,
  frequency = "1 day"
)

Arguments

symbol: character vector One or more ticker symbols (e.g. "AAPL"). Each element is paired with the corresponding elements of start_date, end_date and level. Recycling follows base R rules; mismatched lengths should be avoided.
start_date: Date-like (Date or character) Start date(s) for the requested range(s). Each start date is converted with as.Date().
end_date: Date-like (Date or character) End date(s) for the requested range(s). Each end date is converted with as.Date().
level: integer(1) Required order-book snapshot level (e.g. 1, 2).
validate: logical(1) If TRUE (default) remove weekend days and NYSE holidays and — when account_archive is supplied — remove days already present in the account archive.
account_archive: data.frame or tibble, optional Archive table as returned by account_archive(). When provided, rows that match (symbol, start_date, end_date, level, size, download, id) are excluded from the returned request.
frequency: character(1), defaults to "1 day". Frequency string passed to request data. For large data ranges, it may be beneficial to request data at a lower frequency, e.g. "1 month" to reduce the number of requests to the lobster server.

Value

A tibble (data.frame) with one row per trading day and columns:

symbol: character
start_date: Date
end_date: Date (equal to start_date for daily requests)
level: integer

The function returns only the days that remain after optional validation.

Details

The function does not perform network activity. Use request_submit() to send the generated requests to the authenticated LOBSTER session.

Examples

if (FALSE) { # \dontrun{
# Single symbol, one-month range
req <- request_query("AAPL", "2020-01-01", "2020-01-31", level = 2)

# Multiple symbols / ranges (vectorised inputs)
req <- request_query(
  symbol = c("AAPL", "MSFT"),
  start_date = c("2020-01-01", "2020-02-01"),
  end_date = c("2020-01-03", "2020-02-03"),
  level = c(1, 1)
)
} # }