NasdaqDataLink

QuantConnect.DataSource.NasdaqDataLink

NasdaqDataLink()

NasdaqDataLink(value_column_name: str)

Bases: DynamicData

Nasdaq Data Link dataset

Signature descriptions:

Default NasdaqDataLink constructor uses Close as its value column
Constructor for creating customized NasdaqDataLink instance which doesn't use close, price, settle or value as its value item.

Parameters:

Name	Type	Description	Default
`value_column_name`	`Optional[str]`	The name of the column we want to use as reference, the Value property	`None`

value_column_name

value_column_name: str

Name of the column is going to be used for the field Value

This codeEntityType is protected.

is_auth_code_set

is_auth_code_set: bool

Flag indicating whether or not the Nasdaq Data Link auth code has been set yet

end_time

end_time: datetime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

period

period: timedelta

Gets a time span of one day

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This codeEntityType is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This codeEntityType is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This codeEntityType is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This codeEntityType is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This codeEntityType is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

data_time_zone

data_time_zone() -> Any

Specifies the data time zone for this data type. This is useful for custom data types

Returns:

Type	Description
`Any`	The NodaTime.DateTimeZone of this data type.

default_resolution

default_resolution() -> Resolution

Gets the default resolution for this data and security type

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Using the Nasdaq Data Link V3 API automatically set the URL for the dataset.

Parameters:

Name	Type	Description	Default
`config`	`SubscriptionDataConfig`	Subscription configuration object	required
`date`	`datetime`	Date of the data file we're looking for	required
`is_live_mode`	`bool`	true if we're in live mode, false for backtesting mode	required

Returns:

Type	Description
`SubscriptionDataSource`	STRING API Url for Nasdaq Data Link.

is_sparse_data

is_sparse_data() -> bool

Indicates whether the data is sparse. If true, we disable logging for missing files

Returns:

Type	Description
`bool`	true.

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Parses the data from the line provided and loads it into LEAN

Parameters:

Name	Type	Description	Default
`config`	`SubscriptionDataConfig`	Subscription configuration	required
`line`	`str`	CSV line of data from the souce	required
`date`	`datetime`	Date of the requested line	required
`is_live_mode`	`bool`	Is live mode	required

Returns:

Type	Description
`BaseData`	New instance.

set_auth_code

set_auth_code(auth_code: str) -> None

Set the auth code for the Nasdaq Data Link set to the QuantConnect auth code.

Parameters:

Name	Type	Description	Default
`auth_code`	`str`		required

supported_resolutions

supported_resolutions() -> List[Resolution]

Gets the supported resolution for this data and security type

clone

clone() -> BaseData

Return a new instance clone of this object, used in fill forward

Returns:

Type	Description
`BaseData`	A clone of the current object.

requires_mapping

requires_mapping() -> bool

Indicates if there is support for mapping

Returns:

Type	Description
`bool`	True indicates mapping should be used.

deserialize_message

deserialize_message(serialized: str) -> Iterable[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
`serialized`	`str`	The data server's message	required

Returns:

Type	Description
`Iterable[BaseData]`	An enumerable of base data, if unsuccessful, returns an empty enumerable.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
`bool`	Whether this contains data that should be stored in the security cache.

to_string

to_string() -> str

Formats a string with the symbol and value.

Returns:

Type	Description
`str`	string - a string formatted as SPY: 167.753.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name	Type	Description	Default
`last_trade`	`float`	The last trade price	required
`bid_price`	`float`	Current bid price	required
`ask_price`	`float`	Current asking price	required
`volume`	`float`	Volume of this trade	required
`bid_size`	`float`	The size of the current bid, if available	required
`ask_size`	`float`	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
`ask_price`	`float`	The current ask price	required
`ask_size`	`float`	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
`bid_price`	`float`	The current bid price	required
`bid_size`	`float`	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
`bid_price`	`float`	The current bid price	required
`bid_size`	`float`	The current bid size	required
`ask_price`	`float`	The current ask price	required
`ask_size`	`float`	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
`last_trade`	`float`	The price of the last trade	required
`trade_size`	`float`	The quantity traded	required

get_meta_object

get_meta_object(parameter: Any) -> Any

Get the metaObject required for Dynamism.

get_property

get_property(name: str) -> Object

Gets the property's value with the specified name. This is a case-insensitve search.

Parameters:

Name	Type	Description	Default
`name`	`str`	The property name to access	required

Returns:

Type	Description
`Object`	object value of BaseData.

get_storage_dictionary

get_storage_dictionary() -> IDictionary[str, Object]

Gets the storage dictionary Python algorithms need this information since DynamicMetaObject does not work

Returns:

Type	Description
`IDictionary[str, Object]`	Dictionary that stores the paramenters names and values.

has_property

has_property(name: str) -> bool

Gets whether or not this dynamic data instance has a property with the specified name. This is a case-insensitve search.

Parameters:

Name	Type	Description	Default
`name`	`str`	The property name to check for	required

Returns:

Type	Description
`bool`	True if the property exists, false otherwise.

set_property

set_property(name: str, value: Any) -> Object

Sets the property with the specified name to the value. This is a case-insensitve search.

Parameters:

Name	Type	Description	Default
`name`	`str`	The property name to set	required
`value`	`Any`	The new property value	required

Returns:

Type	Description
`Object`	Returns the input value back to the caller.